Bayesian Value-at-Risk backtesting: The case of annuity pricing.

Melvern Leung Youwei Li Athanasios A. Pantelous Samuel A. Vigne

Published in: Eur. J. Oper. Res. (2021)

Keyphrases

decision making
data sets
data driven
maximum likelihood
database
genetic algorithm
expert systems
risk management
bayesian inference
posterior distribution
risk assessment
minimum risk
bayesian decision