Revision as of 21:48, 15 July 2024 by Admin
Jun 02'22

Exercise

You are given the following about a risk:

  • Claim frequency and claim size are independent
  • Monthly claim frequency is Poisson distributed with mean 3
  • Claim size is uniformly distributed on [a,b]

If [math]S[/math] is an annual loss for the risk, determine the maximum of [math]\operatorname{E}[S^2]/\operatorname{E}[S]^2[/math] over all possible values (a,b).

  • 1/2
  • 3/4
  • 1
  • 4/3
  • 5/3
Jun 02'22

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