The Exponential T-X Family of Distributions: Properties and an Application to Insurance Data

Table 2

Simulation results of VaR and TVaR of the Weibull and ETX-Weibull distributions for n = 150.

Dist.	Par.	Level of significance	VaR	TVaR
Weibull		0.700	0.879	1.205
		0.750	0.951	1.263
		0.800	1.033	1.331
		0.850	1.132	1.415
		0.900	1.261	1.526
		0.950	1.459	1.701
		0.975	1.638	1.863
		0.999	2.321	2.498
ETX-Weibull		0.700	1.053	1.426
		0.750	1.135	1.493
		0.800	1.230	1.571
		0.850	1.343	1.666
		0.900	1.490	1.793
		0.950	1.716	1.994
		0.975	1.921	2.179
		0.999	2.708	2.914