Subjective risk measures: Bayesian predictive scenarios analysis
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.
scientific article; zbMATH DE number 1396354