CAS Exam MAS-I Spring 2019, Question 26
Study guide: Exam MAS-I
For a general liability policy, loss amounts, Y, follow the Weibull distribution with probability density function:
f(y) = e^{-\left(\frac{y}{\theta}\right)^2}\left(\frac{2}{y}\right)\left(\frac{y}{\theta}\right)^2, \qquad y > 0For reinsurance purposes we are interested in the distribution of the largest loss amount in a random sample of size 10, denoted by Y_{(10)}.
The 90^{\text{th}} percentile of Y_{(10)} is equal to k\theta for some constant k.
Calculate k.
- A) Less than 1.2
- B) At least 1.2, but less than 1.6
- C) At least 1.6, but less than 2.0
- D) At least 2.0, but less than 2.4
- E) At least 2.4
Answer this question and see the worked solution