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
  • 1,238
  • 1,313
  • 1,587
  • 1,597
Jun 02'22

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