Subjective risk measures: Bayesian predictive scenarios analysis

DOI10.1016/S0167-6687(99)00031-1zbMath0954.62125OpenAlexW2071673347MaRDI QIDQ1962825

Hailiang Yang, Tak Kuen Siu

Publication date: 29 January 2001

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00031-1

zbMATH Keywords

credibility theoryconditional risk measuresubjective risk measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items (5)

Backward stochastic difference equations for dynamic convex risk measures on a binomial tree ⋮ Bayesian local robustness under weighted squared-error loss function incorporating unimodal\-ity ⋮ Risk measures and return performance: a critical approach. ⋮ Bayesian Risk Measures for Derivatives via Random Esscher Transform ⋮ On a multivariate Markov chain model for credit risk measurement

Uses Software

• RiskMetrics

Cites Work

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• Families of update rules for non-additive measures: applications in pricing risks.
• Conditioning (updating) non-additive measures
• Axiomatic characterization of insurance prices
• Quantile hedging
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• Risk-adjusted credibility premiums using distorted probabilities

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