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

Table 5

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

Distributions	Parameters	Significance level	VaR	TVaR
Weibull	= 1.4	0.700	3.5223	6.5398
		0.750	4.0674	7.0905
		0.800	4.7365	7.7658
		0.850	5.6019	8.6383
	= 1	0.900	6.8261	9.8712
		0.950	8.9288	11.9865
		0.975	11.0415	14.1096
		0.999	20.9426	24.0443
HTBPT–Weibull	= 1.4	0.700	5.2740	11.8733
		0.750	5.9707	13.1263
		0.800	6.8839	14.8067
	= 0.9	0.850	8.1815	17.2459
	= 1	0.900	10.2962	21.3004
		0.950	14.9397	30.3714
		0.975	21.3899	43.1248
		0.999	108.1901	216.4486