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Table 8 Marginal VaR for model \(\pmb{\operatorname{BPAR}(1)}\)

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

α

0

0.25

0.5

0.75

0.95

\(\operatorname{VaR}_{S_{3}}(0.90)\)

10.65

13.60

17.42

22.41

27.33

\(\operatorname{VaR}_{S_{3}}(0.95)\)

12.46

15.75

20.11

25.60

30.93

  1. Given \(\lambda_{1}=\lambda_{2}=\lambda=1\), n = 3, the marginal VaR at level θ = 0.90,0.95.