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Jun 01'22
Exercise
An actuary is using a normal approximation to model loss distributions. To calibrate the parameters of the normal distribution, the actuary uses historical loss data. You are given the following:
- The sample mean equals 500
- 10% of the historical losses are larger than 800
Approximate the 95th percentile of the loss distribution.
- 678.15
- 750.33
- 856.11
- 884.96
- 900.25