Melvern Leung

Monash University - Department of Econometrics & Business Statistics

900 Dandenong Road

Caulfield East, 3145

Australia

  • Monash University - Department of Econometrics & Business Statistics

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Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing

European Journal of Operational Research, Volume 293, Issue 2, pp. 786-801, 1 September 2021, DOI 10.1016/j.ejor.2020.12.051
Number of pages: 111 Posted: 27 Nov 2019 Last Revised: 06 Jul 2022
Melvern Leung, Youwei Li, Athanasios A. Pantelous and Samuel Vigne
Monash University - Department of Econometrics & Business Statistics, Hull University Business School, Monash University - Department of Econometrics & Business Statistics and Trinity College (Dublin) - Trinity Business School
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Abstract:

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Decision analysis; Value-at-Risk; Backtesting; Bayesian framework; Longevity risk