error (MSE). In the simulation study we also calculate the mean value and the standard deviation of k. The average value is …) should be chosen. The result from the simulation study shows that LRR outperforms ML approach. Furthermore, some of new …

distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation … assumptions on the underlying statistical distributions, a variety of analytical methods and simulation-based methods are … simulation context.<BR> This paper tries to fill this gap by investigating these VaR concepts in a general distribution …

value some methods of how the shrinkage parameter should be estimated are suggested. Using Monte Carlo simulation where the …

deriving expressions for the n th moment. Estimation and simulation issues are also considered. Finally, a detailed application …

and empirical motivation is provided. Various particular cases and expressions for moments are derived. Estimation … derived. A simulation study is performed to investigate the asymptotic distribution of an associated boundary crossing …