Case

Confidence interval

VaR (99.9%)

Length

Aggregate

$1040697.00

$1230492.00

$1162215.00

15.42%

Scenario analysis

$6094853.00

$7171522.00

$6592086.00

15.01%

Bayesian unknowm l

$1053861.00

$1184129.00

$1117821.00

11.00%

Bayesian unknown m

$1097195.00

$1268136.00

$1188079.00

13.48%

Bayesian unknowm l and m

$1141767.00

$1318781.00

$1199000.00

13.42%

MCMC l

$944793.10

$1101274.00

$1000527.00

14.21%

MCMC l, m

$1098930.00

$1244564.00

$1167060.00

11.70%

MCMC l, m, s

$2839706.00

$3310579.00

$3061151.00

14.22%