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"Bayesian Value-at-Risk backtesting: The case of annuity pricing."

Melvern Leung et al. (2021)

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DOI: 10.1016/J.EJOR.2020.12.051

access: closed

type: Journal Article

metadata version: 2022-12-07

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  - https://dblp.org/rec/journals/eor/LeungLPV21
Melvern Leung, Youwei Li, Athanasios A. Pantelous, Samuel A. Vigne:
Bayesian Value-at-Risk backtesting: The case of annuity pricing. Eur. J. Oper. Res. 293(2): 786-801 (2021)

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