Fair2019-02-20 23:15:10

Over the next year, an operational process model predicts a 95% probability of no loss occurrence and a 5% probability of a single loss occurrence. If the single loss occurs, the severity is characterized by three possible outcomes: $10.0 million loss with 20% probability, $18.0 million loss with 50% probability, and $25.0 million loss with 30% probability. What is the model's one-year 90% expected shortfall (ES)? 这一题很不理解，预期5%损失的是18.5million，那变成10%预期损失不应该是乘以2吗，为什么反而是除以2？