Some comments about James Watson's and Chris Holmes' "Approximate Models and Robust Decisions"

This note is made of comments on Watson and Holmes (2016) and about their proposals towards more robust decisions. While we acknowledge and commend the authors for setting new and all-encompassing principles of Bayesian robustness, we remain uncertain as to which extent such principles can be applied outside binary decision. We also wonder at the ultimate relevance of Kullback-Leibler neighbourhoods to characterise robustness.