Table 3 OpVaR for different confidences level and distributions
From: pTAS distributions with application to risk management
Percentile \(\rightarrow \) | 0.95 | 0.99 | 0.995 | 0.999 | 0.9995 |
|---|---|---|---|---|---|
lognormal | 40,937,057 | 76,509,385 | 100,584,286 | 187,533,641 | 247,986,179 |
Weibull | 37,542,382 | 47,459,865 | 51,335,798 | 60,440,362 | 64,322,549 |
pTAS | 33,554,021 | 44,883,975 | 49,657,499 | 60,450,462 | 65,182,740 |
gamma | 32,023,064 | 41,335,245 | 45,109,838 | 53,586,965 | 57,257,060 |
gen.gamma | 24,836,520 | 31,636,053 | 34,333,082 | 40,596,749 | 43,033,552 |