Question
Let X Lognormal( = 0, 2 = 1) (1) Find VaR0.95 and TVaR0.95 (2) Compute Mean Excess Loss and of X and VaR0.995 (3)
Let X ∼ Lognormal(μ = 0, σ2 = 1)
(2) Compute Mean Excess Loss and of X and VaR0.995
(3) Use the previous part to compute TVaR0.995. (If you cannot compute VaR0.995,use 3.6 – this is not the true value, but will allow you to complete the problem.)
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Answer In an insurance context the implied excess loss characteristic is the average charge over a threshold for the reason that the loss exceeds the edge whilst the random variable is a distribution ...
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Probability And Statistics
Authors: Morris H. DeGroot, Mark J. Schervish
4th Edition
9579701075, 321500466, 978-0176861117, 176861114, 978-0134995472, 978-0321500465
