Thread: SOA #87 View Single Post
#2
12-21-2018, 01:15 PM
 daaaave David Revelle Join Date: Feb 2006 Posts: 3,103

Whenever X is a continuous loss variable,
$E[X \wedge 20] = \int_0^{20} x \cdot f(x) \, dx + 20 \Pr[X>20]$
In their expression, they are finding Pr[X>20] by doing 1 - Pr[X<=20] as the integral for P[X<=20] is easier than the integral for Pr[X>20].

Yes, you could use the survival function. I think it will take longer.
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