  We propose and investigate a discrete-time mean field game model involving
risk-averse agents. The model under study is a coupled system of dynamic
programming equations with a Kolmogorov equation. The agents' risk aversion is
modeled by composite risk measures. The existence of a solution to the coupled
system is obtained with a fixed point approach. The corresponding feedback
control allows to construct an approximate Nash equilibrium for a related
dynamic game with finitely many players.
