Find the relative VaR at a confidence level of 95% given the following information.Frequency DistributionProbabilityFrequency0.600.310.12 Severity DistributionProbabilityLoss (£)0.6100000.25500000.15100000

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MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Probability	Frequency
0.6	0
0.3	1
0.1	2

Probability	Loss (£)
0.6	10000
0.25	50000
0.15	100000

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Find the relative VaR at a confidence level of 95% given the following information. Frequency Distribution Probability Frequency 0.6 0 0.3 1 0.1 2 Severity Distribution Probability Loss (£) 0.6 10000 0.25 50000 0.15 100000