NO.PZ2023091701000163
问题如下：
Company A uses a Pareto distribution to model the loss severity of its low-frequency, high-severity operational risk events. A Pareto distribution has the following properties, given parameter Xm and k:
Mean:, for k﹥1 
Variance:, for k﹥2 
Cumulative distribution function:
After fitting the distribution to historical loss data, the parameters are estimated as k = 2.4, Xm = 10,000. What is the unexpected loss of a low-frequency, high severity operational risk event at 99% confidence level?
选项：
A.40703
B.23560
C.50986
D.68129
解释：
The first step, we must get the E(X). So k = 2.4, Xm = 10,000, Mean = 17143;
The second step, we
must get the X. So,
The third step, Unexpected Loss = VaR = X – E(X) = 50,986.
如题111111111111
