Exam C TVaR问题

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Let X have a two-parameter Pareto distribution with alpha = 3  and  theta = 10,000.  Find the
95% Tail Value-at-Risk for this distribution.

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关键词：Exam C Exam tvar VaR distribution

Step 1 p= 1-(theta/(theta+x))^alpha
Step2  VaRp=theta*((1-p)^(-1/alpha)-1)
Step 3 TVaRp=VaRp+theta*(1-p)^(-1/alpha)/(alpha-1)
You can check the Ctable provided by SOA during C exam

Step 1 p= 1-(theta/(theta+x))^alpha
Step2  VaRp=theta*((1-p)^(-1/alpha)-1)
Step 3 TVaRp=VaRp+theta*(1-p)^(-1/alpha)/(alpha-1)
You can check the Ctable provided by SOA during C exam

(theta+var(p))/(alpha-1).If you konw this formula,then you only need to calculate Var(p)

(theta+var(p))/(alpha-1).If you konw this formula,then you only need to calculate Var(p)