R=2

3) (25) Suppose an insurance firm has three groups of insured people who have claim distribution of the form: 3000 of claims follow an N(u = 110; 02 =100) distribution , 2500 of claims follow an N(u = 120; o2 = 200) distribution, and 4500 of claims follow an N(u = 130; 02 = 300) distribution. How much should the company reserve in order to meet all claims with 9% confidence level. i) in a year ii) in 3 months iii) in a month iv) in 2 weeks time. Covariance matrix read as 1100 20 30 S20 200 -10 30 -10 300