Subjective risk measures: Bayesian predictive scenarios analysis

DOI10.1016/S0167-6687(99)00031-1MaRDI QIDQ1962825zbMATH OpenOpenAlexFDO

Authors Tak Kuen Siu, Hailiang Yang

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

conditional risk measurecredibility theorysubjective risk measure

Mathematics Subject Classification ID

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

Review text

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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Cites work

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Cited in

(11)

• Risk measures and return performance: a critical approach.
• Updating subjective risks in the presence of conflicting information: an application to climate change
• Scenario-based risk evaluation
• On a multivariate Markov chain model for credit risk measurement
• Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
• Bayesian Risk Measures for Derivatives via Random Esscher Transform
• Bayes risk, elicitability, and the Expected Shortfall
• Risk measures under model uncertainty: a Bayesian viewpoint
• Inference and risk measurement with the pari-mutuel model
• How might model uncertainty and transaction costs impact retained earning \& dividend strategies? An examination through a classical insurance risk model
• Bayesian local robustness under weighted squared-error loss function incorporating unimodal\-ity

Describes a project that uses

Uses Software

• RiskMetrics

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