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Jun 02'22
Exercise
You are given the following about a portfolio of risks:
- Risks are classified into three classes: 10% belong to class A, 30% belong to class B and 60% belong to class C.
- Losses for each risk are uniformly distributed on an interval [a,b] with a and b dependent on class:
| Class | a | b |
|---|---|---|
| A | 0 | 1,500 |
| B | 500 | 2,300 |
| C | 100 | 1,000 |
Determine the expected loss for a randomly selected risk given that the loss is greater than 1,000.
- 1,065
- 1,237.5
- 1,313.33
- 1,586.67
- 1,596.67