Reinforcement Learning with Dynamic Convex Risk Measures. - Anthony Coache; Sebastian Jaimungal (CoRR, 2021)

Eliciting Risk Aversion with Inverse Reinforcement Learning via Interactive Questioning. - Ziteng Cheng; Anthony Coache; Sebastian Jaimungal (CoRR, 2023)

Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. - Anthony Coache; Sebastian Jaimungal; Álvaro Cartea (SIAM J. Financial Math., 2023)

Robust Reinforcement Learning with Dynamic Distortion Risk Measures. - Anthony Coache; Sebastian Jaimungal (CoRR, 2024)