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2. (25)Suppose claim amount for an insurance company follows a discrete distribution Pc 0 0.5 100 0.4 200 0.05 500 0.04 1000 0.005 10000 0.005
2. (25)Suppose claim amount for an insurance company follows a discrete distribution Pc 0 0.5 100 0.4 200 0.05 500 0.04 1000 0.005 10000 0.005 Find the cash values which company should hold to be able to cover claims completely with 95% and 99% confidence levels. Calculate Tail risks TV'a R0.01 and TVaR Interpret your result
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