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Gibbs posterior inference on value-at-risk

Published:2019-02-21 Issue:7 Volume:2019 Page:548-557
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Syring Nicholas¹,Hong Liang²,Martin Ryan³

Affiliation:

1. Postdoctoral Lecturer in Statistics, Department of Mathematics, Washington University, Washington, MO, USA

2. Fellow of the Society of Actuaries and an Associate Professor in the Department of Mathematics, Robert Morris University, Moon Township, PA, USA

3. Associate Professor in the Department of Statistics, North Carolina State University, Raleigh, NC, USA

Funder

National Science Foundation

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2019.1573754

Reference24 articles.

1. Coherent Measures of Risk

2. Parameter Uncertainty and Residual Estimation Risk

3. A general framework for updating belief distributions

4. Modeling Severity and Measuring Tail Risk of Norwegian Fire Claims

5. An MCMC approach to classical estimation

Cited by 11 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A Gibbs Posterior Framework for Fair Clustering;Entropy;2024-01-11

2. Posterior consistency for the spectral density of non‐Gaussian stationary time series;Scandinavian Journal of Statistics;2023-01-13

3. Conformal Prediction Credibility Intervals;North American Actuarial Journal;2022-10-25

4. Gibbs posterior inference on multivariate quantiles;Journal of Statistical Planning and Inference;2022-05

5. Variable Selection Using aModified Gibbs Sampler Algorithm with Application on Rock Strength Dataset;Baghdad Science Journal;2021-11-20

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