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

Melvern Leung, Youwei Li, Athanasios A. Pantelous, Samuel A. Vigne. Bayesian Value-at-Risk backtesting: The case of annuity pricing. European Journal of Operational Research, 293(2):786-801, 2021. [doi]

Abstract

Abstract is missing.