View Single Post
Old 12-11-2019, 10:33 AM
AbedNadir's Avatar
AbedNadir AbedNadir is offline
Join Date: Mar 2014
Studying for FCAS
Posts: 2,848

Page 11 of Brosius, I'm looking at the linear approximation formula and the 1.2.3 listed for Hugh White's questions. If Cov(X,Y) < Var(X), isn't L(x) still bigger than E[Y]? How is this a decrease in the reserve? Isn't this true for all conditions?

Like, let's say x = 5 and E(X) = 4, then under all conditions E[Y|X] = (something bigger than 0 ) + E[Y]

Last edited by AbedNadir; 12-11-2019 at 10:36 AM..
Reply With Quote
Page generated in 0.09898 seconds with 9 queries