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

Table 8

Results for the actuarial measures using the vehicle insurance loss data.

Distributions	Parameters	Significance level	VaR	TVaR
Weibull	= 1.012	0.700	326.949	593.777
		0.750	375.850	642.400
		0.800	435.601	701.844
		0.850	512.495	778.385
	= 0.003	0.900	620.646	886.105
		0.950	805.042	1069.886
		0.975	988.944	1253.282
		0.999	1838.590	2101.309
HTBPT–Weibull	= 0.991	0.700	335.147	691.138
		0.750	386.355	748.644
		0.800	449.103	819.083
	= 1.061	0.850	530.105	909.978
	= 0.004	0.900	644.443	1038.238
		0.950	840.290	1257.859
		0.975	1036.531	1477.869
		0.999	1951.423	2503.161