Question: question 2 2. Given two random variables of claim sizes, X and Y that are defined such that P(X = 100) = 0.04 and P(X

question 2

2. Given two random variables of claim sizes, X and Y that are defined such that P(X = 100) = 0.04 and P(X = 0) = 0.96 P(Y = 100) = 0.04 and P(Y = 0) = 0.96 Show that VaR is not a coherent risk measure

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