Subjective risk measures: Bayesian predictive scenarios analysis
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References listed on IDEAS
- Ioannis Karatzas & Jaksa Cvitanic, 1999. "On dynamic measures of risk," Finance and Stochastics, Springer, vol. 3(4), pages 451-482.
- A. Chateauneuf & R. Kast & A. Lapied, 1996.
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- Föllmer, Hans & Leukert, Peter, 1998. "Quantile hedging," SFB 373 Discussion Papers 1998,13, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November.
- Young, Virginia R., 1998. "Families of update rules for non-additive measures: Applications in pricing risks," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 1-14, October.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ojeda, Enrique Calderín & Déniz, Emilio Gómez & Cabrera Ortega, Ignacio J., 2007. "Bayesian local robustness under weighted squared-error loss function incorporating unimodality," Statistics & Probability Letters, Elsevier, vol. 77(1), pages 69-74, January.
- Mazzoleni, Piera, 2004. "Risk measures and return performance: A critical approach," European Journal of Operational Research, Elsevier, vol. 155(2), pages 268-275, June.
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