M
mario
Member
Is there a mistake in the Core Reading? I think that XT-Var_y% (X) = T-VaR_y% (X) - mu, because E[mu | X \geq m]=E[mu]=mu, since the mean is the mean of the whole distribution (and so is essentially a constant)?
(Just realised the maths looks barely readable. What I mean is, why does the Core reading multiply the last equation on page 15 of the Acted Chapter 7 by y%? I don't think that y% should be there.)
I was looking online and page 4 of this from Guy Carpenter seems to agree with me...
(Just realised the maths looks barely readable. What I mean is, why does the Core reading multiply the last equation on page 15 of the Acted Chapter 7 by y%? I don't think that y% should be there.)
I was looking online and page 4 of this from Guy Carpenter seems to agree with me...