A New Class of Heavy-Tailed Distributions: Modeling and Simulating Actuarial Measures

Table 3

For , the simulation study of the risk measures for Weibull and HTBPT–Weibull distributions.

Distributions	Parameters	Significance level	VaR	TVaR
Weibull	= 0.8	0.700	1.6688	2.2356
		0.750	1.7953	2.3365
		0.800	1.9397	2.4542
		0.850	2.1122	2.5980
	= 1	0.900	2.3352	2.7880
		0.950	2.6763	3.0863
		0.975	2.9810	3.3589
		0.999	4.1260	4.4174
HTBPT–Weibull	= 0.8	0.700	2.3073	5.0387
		0.750	2.6034	5.5565
		0.800	2.9903	6.2489
	= 2	0.850	3.5376	7.2499
	= 1	0.900	4.4248	8.9054
		0.950	6.3569	12.5802
		0.975	9.0147	17.6978
		0.999	43.6677	85.0932