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Showing 1 to 2 of 2 for “"Probability matching priors"”.
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On Independent Reference Priors
… of prior has been of great interest. Subjective priors are ideal if sufficient information on priors is available. However, in practice, we cannot collect enough information on priors. Then objective priors are a good substitute for subjective priors. In this dissertation, an independent …
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Contributions to solvency risk measurement
… (b) Bayesian predictive distributions under probability-matching priors and (c) residual risk estimation via parametric bootstrap. Risk measures satisfying standard properties are used, for example the popular TVaR. For more general distributions only (a) and (b) are investigated and a …