کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4640225 1341267 2011 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 235, Issue 11, 1 April 2011, Pages 3304–3314
نویسندگان
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