Extreme distorted tail value-at-risk of Secura insurance data

Extreme distorted tail value-at-risk of Secura insurance data

Authors

Belhadj Bouchaib University of Ain Temouchent, Algeria
Univ Mascara
{E}cole Nationale Sup\'{e}rieure d'Informatique, Sidi Bel Abbes, Algeria\\ Biomathematics laboratory, Djillali Liabes University, Sidi Bel Abbes, Algeria

Abstract

This paper addresses the problem of estimating the distorted tail value-at-risk (DTVaR) measure which generalize the TVaR (tail value-at-risk ) using empirical, semi-parametric and parametric approaches and then apply, and then applied them to the Secura insurance data.