The Bayesian model are established for the VaR and related risk measurements. The relationship between VaR and other risk measurements including expect shortfall, tail condition expectation and conditional value at risk are discussed. Furthermore, the Bayesian estimates and Bayesian predictors of these risk measurement are derived. Thirdly, the consistency and asymptotic normality in the exponential risk model are proved. Finally, the numerical simulation method is used to verify the convergence rate under different sample sizes.
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WANG Zhengwu; WEN Limin; LIU Zhiqiang. Bayesian Estimation and Statistical Analysis of Risk Measurements. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2019, 35(3): 249-262.