SOA Exam FAM Sample Question 102
Study guide: Exam FAM
You are given:
(i) For any random variable X, the risk measure is \rho(X) = \mu_X + k\sigma_X.
(ii) The variables Y and Z are defined as follows:
y |
P(Y = y) |
|---|---|
| 0 | 0.2 |
| 1 | 0.8 |
and Z is constant with Z = 1.
Calculate the largest value of k such that \rho has the monotonicity property with respect to Y and Z.
- A) 0.50
- B) 0.75
- C) 1.00
- D) 1.25
- E) 1.50
Answer this question and see the worked solution