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)

(1) Find VaR0.95 and TVaR0.95

(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 ... View full answer

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