Discretize a sev distribution example

jmoore13jmoore13
in NCCI.InformationalExhibits

Hi! Can you show the derivation of XS(xi) = (1 - xi / 10) ^2 from the second example problem? I'm not sure how to get it. Thanks!

Comments

  • adminadmin

    Here's a hint: The excess ratio is (E[X] - E[X; xi]) / E[X]. For a uniform distribution on [0, 10], E[X] = 5 so we just need to find an expression for E[X; xi].



    SPOILER: If you're still stuck, see the picture below for our solution.




    image.png


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