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Article: Subjective risk measures: Bayesian predictive scenarios analysis

TitleSubjective risk measures: Bayesian predictive scenarios analysis
Authors
Siu, TKYang, H
KeywordsBayesian analysis
Bühlmann estimators
Coherent risk measure
Conditional risk measure
Credibility theory
Global investment
Risk interval
Scenario analysis
Subjective risk measure
Issue Date1999
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 1999, v. 25 n. 2, p. 157-169 How to Cite?
DOI: http://dx.doi.org/10.1016/S0167-6687(99)00031-1
AbstractIn 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. © 1999 Elsevier Science B.V.
Persistent Identifierhttp://hdl.handle.net/10722/54357
ISSN
0167-6687
2021 Impact Factor: 2.168
2020 SCImago Journal Rankings: 1.139
ISI Accession Number ID
WOS:000088110700006
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorSiu, TKen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2009-04-03T07:44:24Z-
dc.date.available2009-04-03T07:44:24Z-
dc.date.issued1999en_HK
dc.identifier.citationInsurance: Mathematics And Economics, 1999, v. 25 n. 2, p. 157-169en_HK
dc.identifier.issn0167-6687en_HK
dc.identifier.urihttp://hdl.handle.net/10722/54357-
dc.description.abstractIn 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. © 1999 Elsevier Science B.V.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_HK
dc.relation.ispartofInsurance: Mathematics and Economicsen_HK
dc.rightsInsurance: Mathematics and Economics. Copyright © Elsevier BV.en_HK
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectBayesian analysisen_HK
dc.subjectBühlmann estimatorsen_HK
dc.subjectCoherent risk measureen_HK
dc.subjectConditional risk measureen_HK
dc.subjectCredibility theoryen_HK
dc.subjectGlobal investmenten_HK
dc.subjectRisk intervalen_HK
dc.subjectScenario analysisen_HK
dc.subjectSubjective risk measureen_HK
dc.titleSubjective risk measures: Bayesian predictive scenarios analysisen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0167-6687&volume=25&spage=157&epage=169&date=1999&atitle=Subjective+risk+measures:+Bayesian+predictive+scenarios+analysisen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturepostprinten_HK
dc.identifier.doi10.1016/S0167-6687(99)00031-1en_HK
dc.identifier.scopuseid_2-s2.0-0347662664en_HK
dc.identifier.hkuros49246-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0347662664&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume25en_HK
dc.identifier.issue2en_HK
dc.identifier.spage157en_HK
dc.identifier.epage169en_HK
dc.identifier.isiWOS:000088110700006-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridSiu, TK=8655758200en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.issnl0167-6687-

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