Within our research group Bayesian Risk Solutions we have coined the idea of a Bayesian Risk Management (BRM). It claims (1) a more transparent and diligent data analysis as well as (2)an open-minded incorporation of human expertise in risk management. In this dissertation we formulize a...

This paper has two major objectives. First, we develop and implement a Bayesian generalized factor model that allows for non-orthogonality of the idiosyncratic factors and the flexibility of cross-sectional and time series dimensions. Second, we evaluate the significance of the orthogonality...

A Markov Chain Monte Carlo method is proposed for the pointwise evaluation of a density whose normalizing constant is not known. This method was introduced in the physics literature by Assaraf et al (2007). Conditions for unbiasedness of the estimator are derived. A central limit theorem is also...

Much of the theoretical literature on inequality assumes that the equalisand is a cardinal variable like income or wealth. However, health status is generally measured as a categorical variable expressing a qualitative order. Traditional solutions involve reclassifying the variable by means of...

In the analysis of multivariate categorical data, typically the analysis of questionnaire data, it is often advantageous, for substantive and technical reasons, to analyse a subset of response categories. In multiple correspondence analysis, where each category is coded as a column of an...