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Table 7 Marginal VaR for model \(\pmb{\operatorname{BPMA}(1)}\)

From: Bidimensional discrete-time risk models based on bivariate claim count time series

α

0

0.25

0.5

0.75

1

\(\operatorname{VaR}_{S_{5}}(0.90)\)

15.98

20.60

24.10

30.20

35.28

\(\operatorname{VaR}_{S_{5}}(0.95)\)

18.12

23.21

28.40

33.68

39.05

  1. Given \(\lambda_{1}=\lambda_{2}=\lambda=1\), n = 5, the marginal VaR at level θ = 0.90,0.95.