Case

Confidence interval

VaR (99.9%)

Length

Aggregate

$1040697.00

$1230492.00

$1162215.00

15%

Scenario analysis

$2570297.00

$2876469.00

$2759640.00

12%

Bayesian unknowm l

$1084427.00

$1257414.00

$1172801.00

16%

Bayesian unknown m

$1045412.00

$1183887.00

$1118045.00

13%

Bayesian unknowm l and m

$1114267.00

$1249999.00

$1175326.00

12%

MCMC l

$1025132.00

$1188600.00

$1083511.00

16%

MCMC l, m

$1169519.00

$1347836.00

$1253938.00

15%

MCMC l, m, s

$1678124.00

$1912897.00

$1769198.00

14%