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ABy Admin
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.

  1. 678.15
  2. 750.33
  3. 856.11
  4. 884.96
  5. 900.25
ABy Admin
Jun 01'22

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