Measures of surprise refer to quantifications of the degree of incompatibility of data with some hypothesized model H 0 without any reference to alternative models. Traditional measures of surprise have been the p-values, which are however known to grossly overestimate the evidence against H 0 . Strict Bayesian analysis calls for an explicit specification of all possible alternatives to H 0 so Bayesians have not made routine use of measures of surprise. In this report we CRITICALLY REVIEw the proposals that have been made in this regard. We propose new modifications, stress the connections with robust Bayesian analysis and discuss the choice of suitable predictive distributions which allow surprise measures to play their intended role in the presence of nuisance parameters. We recommend either the use of appropriate likelihoodratio type measures or else the careful calibration of p-values so that they are closer to Bayesian answers. Key words and phrases. Bayes factors; Bayesian p-values; Bayesian robustness; Conditioning; Model checking; Predictive distributions. 1.

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