Mildenhall 13 Allocated CCoC Application

Exams - Study Groups and Discussion CAS Exam 9
1

There are a lot of tables presented that give you various results of allocation based on different methods. I am finding most of these methods hard to reproduce. Is TVaR of a gamma solvable if you know the parameters? I know how to get the VaR =GAMMA.INV

What about a distribution that is the sum of two gamma distributions? Does this require simulation?

2

You would have to be given those in a problem. I don’t think it’s testable unless you found a specific TVaR formula for the Gamma distribution somewhere in Mildenhall. I would focus more on what’s reasonable to be asked based on the content outline tasks IMO.