 In this paper, we show that our MCMC-based estimator has several attractive properties, such as consistency and asymptotic normality. Our numerical experiment also demonstrates that , in various risk models used in practice, our MCMC estimator has smaller bias and MSE compared with these of existing estimators.
<clarity>  In this paper, we show that our MCMC-based estimator has several attractive properties, such as consistency and asymptotic normality. Our numerical experiment also demonstrates that , in various risk models used in practice, our MCMC estimator has smaller bias and MSE compared with these of existing estimators.
 Our numerical experiments based on simulation and real-world data demonstrate that in various risk models used in practice, our MCMC estimator has smaller bias and MSE compared with these of existing estimators.