Does the fact that E{X} has a “moderate” value, mean that X cannot assume “big” values? Let us consider a r.v.

for large n. Such a r.v. may illustrate a possible future loss connected with a possibility of a catastrophic event, say, an earthquake. The probability of the event is small, but the damage, if the event occurs, is large. Compute E{X} and comment on to what extent in this case the mean value reflects the “behavior” of the r.v.