Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution

✍ Scribed by Omer L. Gebizlioglu; Birdal Şenoğlu; Yeliz Mert Kantar

• Publisher: Elsevier Science
• Year: 2011
• Tongue: English
• Weight: 227 KB
• Volume: 235
• Category: Article
• ISSN: 0377-0427
• DOI: 10.1016/j.cam.2011.01.044

✦ Synopsis

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.