Probability using the central limit theorem

Reference no: EM131200774

A portfolio contains 16 independent risks, each with a gamma distribution with parameters a = 1and () = 250. Give an expression using the incomplete gamma function for the probability that the sum of the losses exceeds 6,000. Then approximate this probability using the central limit theorem.

The severities of individual claims have the Pareto distribution with parameters a = 8/3 and () = 8,000. Use the central limit theorem to approximate the probability that the sum of I00 independent claims will exceed 600,000.

Reference no: EM131200774

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