Determine the limited expected value function for Models
1–4. Do this using both (3.8) and...

Question

Determine the limited expected value function for Models
1–4. Do this using both (3.8) and XXXXXXXXXXFor Models 1 and 2, also obtain the
function using (3.9).

(*) Losses have a Pareto distribution with 𝛼 = 0.5 and 𝜃 = 10,000. Determine
the mean excess loss at 10,000.

Banasree · Accepted Answer

3.8 Show that the following relationship hold:
	E(X) = e(d)S(d) + E (X^d).
The n- the moment of excess loss variable is,
e(d) = 1/(1- F(d))  ^n f(x) dx
let,
u = x – d
du = dx
du = f(x)
u = 
u = - S(x)
Applying integration by- parts,
 = uv - 
Hence,

Determine the limited expected value function for Models 1–4. Do this using both (3.8) and XXXXXXXXXXFor Models 1 and 2, also obtain the function using (3.9). (*) Losses have a Pareto distribution...

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