We consider the problem of representing claims for coherent risk measures. For this purpose we introduce the concept of (weak and strong) time-consistency with respect to a portfolio of assets, generalizing the one defined in Delbaen [7]. In a similar way we extend the notion of m-stability, by...

Aims and Motivation To examine the effect of level of disability on the survival of children with cerebral palsy using a cohort taken from Bristol. The data is subject to, possibly not missing at random (NMAR), unobserved covariate data. Methods A joint survival model for the log-survival times...

Bayesian networks (BNs) are useful for coding conditional independence statements, especially in discrete symmetric models. On the other hand, event trees (ETs) are convenient for representing asymmetric structure and how situations unfold. In this paper we report the development of a new...

This thesis is comprised of three pieces of research on moral hazard, reputation and market structure. In particular, following an opening discussion of previous literature, I explore the dynamic interaction between moral hazard and market structure in two distinct game theoretic settings and...

Statistical methods of inference typically require the likelihood function to be computable in a reasonable amount of time. The class of "likelihood-free" methods termed Approximate Bayesian Computation (ABC) is able to eliminate this requirement, replacing the evaluation of the likelihood with...

This thesis discusses issues arising in the analysis of repeated measurement studies with missing data. The first part of the thesis is motivated by a study where continuous and bounded longitudinal data form the outcome of interest. The aim of this study is to investigate the change over time...

We examine the issue of variable selection in linear regression modeling, where we have a potentially large amount of possible covariates and economic theory offers insufficient guidance on how to select the ap- propriate subset. Bayesian Model Averaging presents a formal Bayesian solution to...

In longitudinal and multivariate settings incomplete data, due to missed visits, dropouts or non-return of questionnaires are quite common. A longitudinal trial in which potentially informative missingness occurs is the Collaborative Ankle Support Trial (CAST). The aim of this study is to...

This thesis is concerned with Bayesian forecasting and sequential estimation. The concept of multiple discounting is introduced in order to achieve parametric and conceptual parsimony. In addition, this overcomes many of the drawbacks of the Normal Dynamic Linear Model (DLM) specification which...

This thesis concerns theoretical and practical Bayesian modelling of multivariate time series. Our main goal is to intruduce useful, flexible and tractable multivariate forecasting models and provide the necessary theory for their practical implementation. After a brief review of the dynamic...