Abstract: VaR measure has important applications in finance and insurance practice. In this paper, the Bayesian models are established. Under some loss function, the Bayeian estimate of VaR is derived. In addition, we prove the strongly consistency and asymptotic normality for the Bayesian estimation of VaR under exponential-Gamma model. Finally, the numerical simulation is done to verify the convergence rate of the estimate of VaR with different sample sizes.