Bayesian estimation of value at risk measure under exponential-Gamma models

DOI10.3969/J.ISSN.1001-4268.2015.01.005MaRDI QIDQ3462853zbMATH OpenFDO

Authors Yi Zhang, Dongqiong Zhou, Limin Wen

Publication date 15 January 2016

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2015.01.005

zbMATH Keywords

asymptotic normalityBayesian estimationloss functionstrong consistencyvalue at risk measure

Mathematics Subject Classification ID

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

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(11)

• Bayesian value-at-risk backtesting: the case of annuity pricing
• Development of a novel computational model for the balloon analogue risk task: the exponential-weight mean-variance model
• On Bayesian value at risk: from linear to non-linear portfolios
• Bayesian value-at-risk with product partition models
• Bayesian estimation of TVaR measure under Pareto-Gamma models
• Bayesian estimation and statistical analysis of risk measurements
• A Bayesian approach to incorporate model ambiguity in a dynamic risk measure
• Credibility estimation based on risk measure of value at risk
• Moderate deviation principles of the Bayesian estimators of value at risk and conditional value at risk under exponential-gamma models
• Gibbs posterior inference on value-at-risk
• Bayesian Risk Measures for Derivatives via Random Esscher Transform

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