ABSTRACT
Calculate the covariance C o v ( A r 1 , X2) and the standard deviat ion of
the total aggregate c la im amount X= Xx + X2 as a function of p,
and evaluate them for p = — 1, 0 and +1 .
Exercise 3.2.15 Consider a b lock of N = 10000 risk units each
having a d is t r ibut ion of claims of compound mixed Poisson type
wi th the same expected number rc, = 0.1 of claims. The standard
deviat ion of the mix ing variable qj of each risk unit j is oq = 0.2.
