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Jun 02'22
Exercise
Losses in year 1 equal [math]X[/math] and have an exponential distribution with mean 1,000. Losses in year 2 equal [math]Y[/math] and, conditional on [math]X[/math], have an exponential distribution with mean [math]X[/math]. Determine the expected value of the maximum annual loss observed in the first two years of coverage.
- 735.76
- 1,103.64
- 1,367.88
- 1,500
- 2,103.64