Probability function

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Joined: Fri Jun 17, 2016 1:07 am

Probability function

Postby anujapune » Thu Jun 23, 2016 7:32 am

Assume a loss severity given by (x) can be characterised by a PDF on the domain (1,e^5). For example ,the minimum loss severity=$1 and the minimum possible loss severity= exp(5)=$148.41. the PDF is given by
f(x)= c/x s.t. (1<_x<_e^5) where x = |loss severity|

What is the 95% value at risk I.e., given that losses are expressed in positive values , at what loss severity value (x) is only 5% of the distribution greater than (x)?

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