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#51
10-03-2012, 10:59 AM
 henryzky Member SOA Join Date: Sep 2008 Studying for CFE I&CFA I Posts: 217

Quote:
 Originally Posted by rolenkid2000 Did anyone use mean and standard deviation to calculate coefficient of variation?? I then used this to initially rank my scenario results before looking at CTE(95). I didn't do this until my 4th attempt but I think it made selecting the ultimate combination of assays and minimum to mine much easier.
distribution is extremely fat-tailed. SD is not very helpful.
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#52
10-07-2012, 12:51 PM
 shirakawa SOA Join Date: May 2011 Posts: 6

risk is the input, while reward is the output

it is just like the input-output analysis

I recommend that using one variable as risk/input, and another as reward/ouput.

if you use more variables for both sides, it will be difficult to rank the scenarios. or maybe some methods like data envelope method will be used.
#53
10-07-2012, 02:06 PM
 waterborne Member SOA Join Date: Nov 2010 Posts: 1,515

Quote:
 Originally Posted by rolenkid2000 Did anyone use mean and standard deviation to calculate coefficient of variation?? I then used this to initially rank my scenario results before looking at CTE(95). I didn't do this until my 4th attempt but I think it made selecting the ultimate combination of assays and minimum to mine much easier.
I also used a sort of modified 'coefficient of variation' to look at risk adjusted return. Regardless of the distribution I think this is the most appropriate style of approach.

 Tags can-do mining, fap final assessment, task 2