Subjective risk measures: Bayesian predictive scenarios analysis (Q1962825)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Subjective risk measures: Bayesian predictive scenarios analysis |
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Subjective risk measures: Bayesian predictive scenarios analysis (English)
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29 January 2001
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This paper introduces a conditional risk measure which can be updated sequentially. A Bayesian risk measure is then defined. The risk measures are coherent in the sense of \textit{P. Artzner}, \textit{F. Delbaen}, \textit{N. Eber} and \textit{D. Heath} [Math. Finance 9, 203-228 (1999)]. Applications to finance and insurance are discussed.
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subjective risk measure
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conditional risk measure
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credibility theory
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