ABy Admin
Jun 01'22

Exercise

For a constant [math]b = 400[/math], you are given the following about a loss [math]L[/math]:

  • [math]\operatorname{E}[L^2 \cdot 1_{L \leq b} ] = 3[/math]
  • [math]\operatorname{E}[L \cdot 1_{L \leq b} ] = 2[/math]
  • [math]\operatorname{P}(L \leq b) =0.8[/math]

Determine the variance of the payment when a limit of [math]b[/math] is applied.

  • 25,276
  • 25,279
  • 25,603
  • 32,003
  • 32,103
ABy Admin
Jun 01'22

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