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Consider a bank that wants to model processing errors in its retail banking business. The number of such errors in a given year is denoted by random variable N. The dollar loss amount when a processing error occurs is denoted by random variable S. Which of the following procedures is the most likely implementation of the first step of the loss distribution approach?》》》戳:各科视频讲义+历年真题+21年原版书(PDF版)免·费领取

A) Convolute a marginal Poisson distribution (to characterize N) with a Weibull (to characterize S)

B) Convolute a marginal Poisson distribution (to characterize S) with a Weibull (to characterize N)

C) Convolute a marginal lognormal distribution (to characterize N) with a Weibull (to characterize S)

D) Convolute a marginal Poisson distribution (to characterize N) with a negative binomial (to Characterize S)

答案:A【资料下载】点击下载融跃教育FRM二级学习计划

解析:Poisson is a popular discrete distribution used to model frequency; Weibull is a typical continuous distribution, which generalizes the exponential distribution and has a positive domain, used to model severity.

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