We motivate and propose a new model for non-cooperative Markov game which considers the interactions of risk-aware players. This model characterizes the time-consistent dynamic risk from both stochastic state transitions (inherent to the game) and randomized mixed strategies (due to all other players). An appropriate risk-aware equilibrium concept is proposed and the existence of such equilibria is demonstrated in stationary strategies by an application of Kakutanis fixed point theorem. We further propose a simulation-based Q-learning type algorithm for risk-aware equilibrium computation. This algorithm works with a special form of minimax risk measures which can naturally be written as saddle-point stochastic optimization problems, and covers many widely investigated risk measures. Finally, the almost sure convergence of this simulation-based algorithm to an equilibrium is demonstrated under some mild conditions. Our numerical experiments on a two player queuing game validate the properties of our model and algorithm, and demonstrate their worth and applicability in real life competitive decision-making.
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