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

Table 4

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

Distributions	Parameters	Significance level	VaR	TVaR
Weibull	= 0.5	0.700	2.5628	4.9448
		0.750	2.9824	5.3806
		0.800	3.5015	5.9178
		0.850	4.1788	6.6160
	= 1	0.900	5.1464	7.6095
		0.950	6.8296	9.3302
		0.975	8.5426	11.0747
		0.999	16.7703	19.4062
HTBPT–Weibull	= 0.5	0.700	4.1839	9.4191
		0.750	4.7366	10.4131
		0.800	5.4611	11.7463
	= 0.5	0.850	6.4904	13.6812
	= 1	0.900	8.1681	16.8977
		0.950	11.8517	24.0937
		0.975	16.9687	34.2111
		0.999	85.8277	171.7096