Subjective risk measures: Bayesian predictive scenarios analysis

Tak Kuen Siu, Hailiang Yang

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)

Abstract

In this paper we study methods for measuring risk. First, we introduce a conditional risk measure and point out that it is a coherent risk measure. Using the Bayesian statistical idea a subjective risk measure is defined. In some special cases, closed form expressions for the risk measures can be obtained. The credibility theory can be used to relax the strong assumptions on the model and prior distributions, and to obtain approximated risk measure formulas. Applications in both finance and insurance are discussed.

Original languageEnglish
Pages (from-to)157-169
Number of pages13
JournalInsurance: Mathematics and Economics
Volume25
Issue number2
Publication statusPublished - 16 Nov 1999

Keywords

  • Bayesian analysis
  • Bühlmann estimators
  • Coherent risk measure
  • Conditional risk measure
  • Credibility theory
  • Global investment
  • Risk interval
  • Scenario analysis
  • Subjective risk measure

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