Abstract
In this paper we study the methods of risk measurement. Fist, we introduce a conditional risk measure and prove that it is a coherent risk measure. Then using Bayesian statistics idea a subjective risk measure is defined. In some special cases, closed form solutions can be obtained. The credibility idea can be fitted to our model too.
Key Words: Coherent risk measure, subjective risk measure, Bayesian analysis, credibility theory, risk interval, conditional risk measure, scenario analysis, Bühlmann estimators, global investment.
Key Words: Coherent risk measure, subjective risk measure, Bayesian analysis, credibility theory, risk interval, conditional risk measure, scenario analysis, Bühlmann estimators, global investment.
Volume
Toyko
Year
1999
Categories
Financial and Statistical Methods
Credibility
Financial and Statistical Methods
Risk Measures
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Financial and Statistical Methods
Statistical Models and Methods
Publications
ASTIN Colloquium
