André Philipp MundtDynamic risk management with Markov decision processes Dynamic risk management withMarkov decision processesvon André Philipp MundtDissertation, Universität Karlsruhe (TH)Fakultät für Mathematik, 2007Referenten: Prof. Dr. Nicole Bäuerle, Prof. Dr. Ulrich RiederImpressumUniversitätsverlag Karlsruhec/o UniversitätsbibliothekStraße am Forum 2D-76131 Karlsruhewww.uvka.deDieses Werk ist unter folgender Creative Commons-Lizenz lizenziert: http://creativecommons.org/licenses/by-nc-nd/2.0/de/Universitätsverlag Karlsruhe 2008 Print on DemandISBN: 978-3-86644-200-9PrefaceDuring 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.