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individual collective risk model

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  • individual collective risk model

    Could someone help in the solution of the following quesiton.

    A portfolio of independent policies has three classes of policies.

    class #in class prob of claim/policy claim amount
    1 100 0.01 3
    2 200 0.02 1
    3 50 0.04 2

    question:

    if the relative security loading theta is set such that the probability of the aggregate claim amounts exceed the total premium is 0.05, determine theta using the normal approximation to the aggregate claims.

    Thank you
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