Question 3Suppose insurance loss X follows a Pareto distribution with mean 200 and variance 60,000.(a) Find a, and 0.(b) Find ex(100).(c) Find VaR0.95 (X).(c) Find TVaR0.95 (X).

X= insurance lossX follows a Pareto distribution with mean and variance .

Answered: Question 3 Suppose insurance loss X…

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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Question 3 Suppose insurance loss X follows a Pareto distribution with mean 200 and variance 60,000. (a) Find a, and 0. (b) Find ex(100). (c) Find VaR0.95 (X). (c) Find TVaR0.95 (X).