why

An insurance company has 3 lines of business The first one is completely independent. The 2 others are perfectly correlated. The 3 risks are normally distributed with following parameters Risk 1: mean : 1000 standard deviation : 100 Risk 2 : mean : 2000 standard deviation : 50 Risk 3: mean : 500 standard deviation : 75 2023 116 Exercise : Solvency requirement are computed following the VaR approach with a safety of 99%. Compute for each risk and for the whole portfolio the solvency capital and the diversification effect. A.: sum of capital : 524,25 global capital : 372,8 DP : 151,45