Suppose there are two investments A and B. Either investment A or B has a 4% chance of a loss of $10 million, a 2% chance of a loss of $1 million, and a 94% change of a profit of $1 million.

The outcomes of these two investments are independent of each other. Is the summation of the 95% VaRs of the individual investments greater or smaller than the 95% VaR of the portfolio? What is its financial implication?