Bayesian Value-at-Risk backtesting : the case of annuity pricing
Melvern Leung, Youwei Li, Athanasios A. Pantelous, Samuel A. Vigne
| Year of publication: |
2021
|
|---|---|
| Authors: | Leung, Melvern ; Li, Youwei ; Pantelous, Athanasios A. ; Vigne, Samuel A. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 293.2021, 2 (1.9.), p. 786-801
|
| Subject: | Backtesting | Bayesian framework | Decision analysis | Longevity risk | Value-at-Risk | Risikomaß | Risk measure | Sterblichkeit | Mortality | Bayes-Statistik | Bayesian inference | Risikomanagement | Risk management | Prognoseverfahren | Forecasting model | Risiko | Risk | Lebensversicherung | Life insurance | Theorie | Theory | Risikomodell | Risk model | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.12.051 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012513273