of firms and governments
Risk and Insurance
Risk and Insurance
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The VaR is based on a normal distributionMean = 1.23% <strong>and</strong> St<strong>and</strong>ard deviation = 4.3%Normal distribution confidence interval at 95% = 1.65 (at 99% 2.33)Absolute VaR (0) = −1,23 % + 1,65σ = 1.23% + 1,65(4,3 %) = 5,9 %Social <strong>and</strong> Private Insurance28/J.F. Outreville
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