Dynamic risk management with Markov decision processes [Elektronische Ressource] / von André Philipp Mundt

Dynamic risk management withMarkov decision processesZur Erlangung des akademischen Grades einesDOKTORS DER NATURWISSENSCHAFTENder Fakult˜at fur˜ Mathematik,Universit˜at Karlsruhe (TH)genhemigteDISSERTATIONvonDipl.-Wirtschaftsmath. Andr¶e Philipp Mundtaus PinnebergTag der mundlic˜ hen Prufung:˜ 21. November 2007Referentin: Prof. Dr. Nicole B˜auerleKorreferent: Prof. Dr. Ulrich RiederKarlsruhe2007PrefaceDuring almost four years of work at the Kompetenzzentrum Versicherungswissen-schaften GmbH, Leibniz Universit˜at Hannover, and the Institut fur˜ Stochastik,Universit˜at Karlsruhe (TH), many people supported me.First of all, I would like to thank my supervisor Nicole B˜auerle. She draw me tothe subject of dynamic risk management and made many fruitful suggestions forthe research treated in this work. Furthermore, she always took time for me andencouraged me when I was stuck and came to her with questions and problems.Secondly, let me thank Ulrich Rieder for being the second advisor and for usefuldiscussions.From all the other people, I flrstly and most importantly have to mention AnjaBlatter. Shereadalmostthewholemanuscriptandmademanyvaluablecommentsthat led to improvements in formulations and the layout. Furthermore, I have tothank Gunther Amt and Bruno Ebner for helping me improve parts of the thesisand Mirko K˜otter and Lars Michael Hofimann for useful discussions.