Oct 4, 2020 #1 F Frodo81 New Member Hello all The GARP literature says that under the lognormal assumption, the mean of the logarithm of the loss size is \[ \ln(\frac{\mu\sigma}{\sqrt{1+w}}) \] Could it be that the sigma is wrong here?
Hello all The GARP literature says that under the lognormal assumption, the mean of the logarithm of the loss size is \[ \ln(\frac{\mu\sigma}{\sqrt{1+w}}) \] Could it be that the sigma is wrong here?
