Subjective risk measures: Bayesian predictive scenarios analysis
type: Item
instance of: scholarly article
title: Subjective risk measures: Bayesian predictive scenarios analysis
zbMATH Open document ID: 0954.62125
DOI: 10.1016/S0167-6687(99)00031-1
author: Tak Kuen Siu
author: Hailiang Yang
published in: Insurance Mathematics \& Economics
publication date: 2001-01-29T00:00:00Z
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.
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1396354
zbMATH Keywords: subjective risk measure
zbMATH Keywords: conditional risk measure
zbMATH Keywords: credibility theory
reviewed by: E. S. W. Shiu
describes a project that uses: RiskMetrics
MaRDI profile type: Publication
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full work available at URL: s0167-6687(99)00031-1
OpenAlex ID: W2071673347
description: scientific article; zbMATH DE number 1396354