A Bayesian approach to incorporate model ambiguity in a dynamic risk measure

DOI10.1524/STND.2008.1000zbMATH Open1159.91386OpenAlexW2063926786MaRDI QIDQ3627405

André Mundt, Nicole Bäuerle

Publication date: 12 May 2009

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://publikationen.bibliothek.kit.edu/1000013431

zbMATH Keywords

Markov decision processincomplete informationaverage value-at-riskdynamic risk measureBayesian approach

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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