Résumé en anglais

his note discusses Watson and Holmes (2016) and their proposals towards more robust Bayesian decisions. While we acknowledge and commend the authors for setting new and all-encompassing principles of Bayesian robustness, and we appreciate the strong anchoring of those within a decision-theoretic referential, we remain uncertain as to which extent such principles can be applied outside binary decisions. We also wonder at the ultimate relevance of Kullback-Leibler neighbourhoods to characterise robustness and favour extensions along non-parametric axes.