Bayesian Sensitivity Analysis for VaR and CVaR Employing Distorted Band Priors

Bayesian Sensitivity Analysis for VaR and CVaR Employing Distorted Band Priors

In the context of robust Bayesian analysis, studies mainly focus on computing the range of some quantities of interest when the prior distribution varies in a class. We use the concept of distorted bands to introduce a family of priors on the shape parameter of the Generalized Pareto distribution. W...

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Bibliographic Details
Main Authors: José Pablo Arias-Nicolás, María Isabel Parra, Mario M. Pizarro, Eva L. Sanjuán
Format: Article
Language:English
Published: MDPI AG 2024-01-01
Series:Axioms
Subjects:
robust Bayesian
sensitivity analysis
class of priors
distortion functions
Generalized Pareto distribution
risk measures
Online Access:https://www.mdpi.com/2075-1680/13/2/77

Internet

https://www.mdpi.com/2075-1680/13/2/77

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