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We present a showcase for deriving bounds on the neutrino masses from laboratory experiments and cosmological observations. We compare the frequentist and Bayesian bounds on the effective electron neutrino mass m_beta which the KATRIN neutrino mass experiment is expected to obtain, using both an analytical likelihood function and Monte Carlo simulations of KATRIN. Assuming a uniform prior in m_beta, we find that a null result yields an upper bound of about 0.17 eV at 90% confidence in the Bayesian analysis, to be compared with the frequentist KATRIN reference value of 0.20 eV. This is a significant difference when judged relative to the systematic and statistical uncertainties of the experiment. On the other hand, an input m_beta=0.35 eV, which is the KATRIN 5sigma detection threshold, would be detected at virtually the same level. Finally, we combine the simulated KATRIN results ...