Bayesian Estimation of Value at Risk Measure under Exponential-Gamma Models
Zhang Yi, Zhou Dongqiong, Wen Limin
School of Mathematics and Information Science, Jiangxi Normal University; Science Teaching Department in Jiangxi University of Technology; School of Information Management, Jiangxi University of Finance and Economics
VaR measure has important applications in finance and insurance
practice. In this paper, the Bayesian models are established. Under some loss function,
the Bayeian estimate of VaR is derived. In addition, we prove the strongly consistency
and asymptotic normality for the Bayesian estimation of VaR under exponential-Gamma model.
Finally, the numerical simulation is done to verify the convergence rate of the estimate
of VaR with different sample sizes.
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Zhang Yi, Zhou Dongqiong, Wen Limin. Bayesian Estimation of Value at Risk Measure under Exponential-Gamma Models. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2015, 31(1): 46-56.