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Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution
Authors:Omer L. Gebizlioglu  Birdal ?eno?luYeliz Mert Kantar
Affiliation:
  • a Department of Statistics, Faculty of Science, Ankara University, 06100 Tando?an, Ankara, Turkey
  • b Department of Statistics, Faculty of Science, Anadolu University, Eski?ehir, Turkey
  • Abstract:The Weibull distribution is one of the most important distributions that is utilized as a probability model for loss amounts in connection with actuarial and financial risk management problems. This paper considers the Weibull distribution and its quantiles in the context of estimation of a risk measure called Value-at-Risk (VaR). VaR is simply the maximum loss in a specified period with a pre-assigned probability level. We attempt to present certain estimation methods for VaR as a quantile of a distribution and compare these methods with respect to their deficiency (Def) values. Along this line, the results of some Monte Carlo simulations, that we have conducted for detailed investigations on the efficiency of the estimators as compared to MLE, are provided.
    Keywords:Value-at-risk   Quantiles   Weibull distribution   Monte Carlo simulation   Deficiency
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