Capital at Risk
slanglois@proselect.com
Sun, 03 Oct 99 13:42:52 -0500
The way I now interpret the Spring 1999 question #39 is that there are
three possible surplus scenarios after 2 years: 72.6M (with
probability .81), 33M (.18) and 15M (.01). We do not care about the
expected surplus of 64,896,000 as I had originally calculated. Since
they are looking for the capital at risk with 99% certainty, we
disregard the 1% chance for a 15M surplus (thus a 45M surplus "hit" or
capital at risk) and go to the next level of results or 33M surplus
after 2 years => leaving us with a (60-33) 27M surplus hit or capital
at risk. That is the worst we can do 99% of the time.