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1) Loss distribution is given by L p 100 ? 200 ? 300 ? 400 ? 500 0.25 600 0.15 700 0.05 800 0.01 Calculate
1) Loss distribution is given by L p 100 ? 200 ? 300 ? 400 ? 500 0.25 600 0.15 700 0.05 800 0.01 Calculate TVaR for cofidence levels 0.46, 0.21, 0.06. 3) Loss distribution is a uniform distribution with minimum loss is 100million and maximum loss is 400million . X ~ Unif (100, 400). For maximum losses 90, 85, 80 million USD calculate the confidence levels. Calculate the corresponing TVAR
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