Robust Value-at-Risk estimation methods for Weibull distribution

Abstract With its tail structure and shape the Weibull distribution probably the most appropriate distribution for actuarial applications especially in non-life insurance. Risk measurement process is crucial for solvency of the insurance companies as well as for other financial institutions. Value at Risk is commonly used risk measure for this purpose. This study considers robust estimation of Value at Risk under Weibull loss distribution by using a simulated data and also an insurance data that belongs to Turkish insurance company