Consider an insurer which has sold 100 identically distributed insurance policies, each having an expected loss of $1,000 and a standard deviation of $800. Furthermore, also assume that losses are normally distributed. Assume that all insurance policies are correlated with 0.1 as the correlation coefficient, what is the standard deviation of the insurer's average loss? $84 $264 $365 $872 Consider an insurer which has sold 100 identically distributed insurance policies, each having an expected loss of $1,000 and a standard deviation of $800. Furthermore, also assume that losses are normally distributed. Assume that all insurance policies are correlated with 0.1 as the correlation coefficient, what is the standard deviation of the insurer's average loss? $84 $264 $365 $872