Bayesian Value-at-Risk backtesting : the case of annuity pricing
Year of publication: |
2021
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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
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Subject: | Backtesting | Bayesian framework | Decision analysis | Longevity risk | Value-at-Risk | Risikomaß | Risk measure | Bayes-Statistik | Bayesian inference | Sterblichkeit | Mortality | Risikomanagement | Risk management | Prognoseverfahren | Forecasting model | Lebensversicherung | Life insurance | Theorie | Theory | Portfolio-Management | Portfolio selection | Risiko | Risk |
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