Let X Lognormal( = 0, 2 = 1) (1) Find VaR0.95 and TVaR0.95 (2) Compute Mean
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Question:
(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.)
Related Book For
Probability and Statistics
ISBN: 978-0321500465
4th edition
Authors: Morris H. DeGroot, Mark J. Schervish
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