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

Gebizlioglu O. L., ŞENOĞLU B., MERT KANTAR Y.

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, cilt.235, sa.11, ss.3304-3314, 2011 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 235 Sayı: 11
  • Basım Tarihi: 2011
  • Doi Numarası: 10.1016/j.cam.2011.01.044
  • Dergi Adı: JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.3304-3314
  • Anahtar Kelimeler: Value-at-risk, Quantiles, Weibull distribution, Monte Carlo simulation, Deficiency
  • Anadolu Üniversitesi Adresli: Hayır

Özet

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. (C) 2011 Elsevier B.V. All rights reserved.