NO.PZ2023091701000131
问题如下：
Over the next year, an operational process model predicts a 95% probability of no loss occurrence and a 5% probability of a single loss occurrence. If the single loss occurs, the severity is characterized by three possible outcomes: $10.0 million loss with 20% probability, $18.0 million loss with 50% probability, and $25.0 million loss with 30% probability. What is the model's one-year 90% expected shortfall (ES)?
选项：
A.$9.25 million B.$10.00 million C.$13.88 million D.$18.50 million解释：
The 10% loss tail includes 5% of no loss (i.e., the 90% to 95% CDF) and 5% of the loss event.
The average of this 10% tail is therefore given by:
50% × 0 + 50% × [E (loss | loss event)] = 50% × [20% × 10 + 50% × 18 + 30% × 25] = $9.25 million
另外关于ES的计算，在强化班的哪个部分讲到了，没有印象了。谢谢！
