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The MDP is assumed to have Borel state and action spaces and the cost function may be unbounded above. The optimization problem is split into two minimization problems using an infimum representation for spectral risk measures. We show that the inner minimization problem can be solved as an ordinary MDP on an extended state space and give sufficient conditions under which an optimal policy exists. Regarding the infinite dimensional outer minimization problem, we prove the existence of a solution and derive an algorithm for its numerical approximation. Our results include the findings in B\u00e4uerle and Ott (Math Methods Oper Res 74(3):361\u2013379, 2011) in the special case that the risk measure is Expected Shortfall. As an application, we present a dynamic extension of the classical static optimal reinsurance problem, where an insurance company minimizes its cost of capital.<\/jats:p>","DOI":"10.1007\/s00186-021-00746-w","type":"journal-article","created":{"date-parts":[[2021,7,27]],"date-time":"2021-07-27T11:02:48Z","timestamp":1627383768000},"page":"35-69","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":18,"title":["Minimizing spectral risk measures applied to Markov decision processes"],"prefix":"10.1007","volume":"94","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-0077-3444","authenticated-orcid":false,"given":"Nicole","family":"B\u00e4uerle","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Alexander","family":"Glauner","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2021,7,27]]},"reference":[{"issue":"7","key":"746_CR1","doi-asserted-by":"publisher","first-page":"1505","DOI":"10.1016\/S0378-4266(02)00281-9","volume":"26","author":"C Acerbi","year":"2002","unstructured":"Acerbi C (2002) Spectral measures of risk: a coherent representation of subjective risk aversion. 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