We have three independent risks, each having the following probability mass functions: P(X₁=0)=1/4 P(X₁=1)=1/2 P(X₁=2)=1/4 P(X₂=0)=1/2 P(X₂=2)=1/2 P(X3=0)=1/4 P(X3=2)=1/2 P(X3-4)=1/4 Determine the Value at Risk (VaR) (90%) and the Tail Value at Risk (TVaR) (90%) of the distribution of the total claims of the portfolio of 3 risks.
We have three independent risks, each having the following probability mass functions: P(X₁=0)=1/4 P(X₁=1)=1/2 P(X₁=2)=1/4 P(X₂=0)=1/2 P(X₂=2)=1/2 P(X3=0)=1/4 P(X3=2)=1/2 P(X3-4)=1/4 Determine the Value at Risk (VaR) (90%) and the Tail Value at Risk (TVaR) (90%) of the distribution of the total claims of the portfolio of 3 risks.
A First Course in Probability (10th Edition)
10th Edition
ISBN:9780134753119
Author:Sheldon Ross
Publisher:Sheldon Ross
Chapter1: Combinatorial Analysis
Section: Chapter Questions
Problem 1.1P: a. How many different 7-place license plates are possible if the first 2 places are for letters and...
Related questions
Question
Transcribed Image Text:We have three independent risks, each having the following probability mass functions:
P(X₁=0)=1/4
P(X₁=1)=1/2
P(X₁=2)=1/4
P(X₂=0)=1/2 P(X3=0)=1/4
P(X₂=2)=1/2
P(X3=2)=1/2
P(X3=4)=1/4
Determine the Value at Risk (VaR) (90%) and the Tail Value at Risk (TVaR) (90%) of the distribution of the
total claims of the portfolio of 3 risks.
Expert Solution
This question has been solved!
Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.
Step by step
Solved in 4 steps
Similar questions
- Recommended textbooks for youA First Course in Probability (10th Edition)ProbabilityISBN:9780134753119Author:Sheldon RossPublisher:PEARSON
A First Course in Probability (10th Edition)ProbabilityISBN:9780134753119Author:Sheldon RossPublisher:PEARSON