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RISK MANAGEMENT AND INSURANCE 1) (35pts) Claim amount (size) distribution is given as (Million USD) P(x) 50 ? 100 2 200 0.2 300 0.15 400

RISK MANAGEMENT AND INSURANCE

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1) (35pts) Claim amount (size) distribution is given as (Million USD) P(x) 50 ? 100 2 200 0.2 300 0.15 400 0.10 500 0.05 with E(20) = 165 million USD. Calculate TVaR for confidence levels 0.3.0.15, 0.0/5

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