The following is a problem for Kaas et al. (2008) "Modern Actuarial Risk Theory". I am trying to understand my concepts for TVaR, VaR, and CTE
Question: Give expressions from VaR, TVaR, and CTE in case S ~ Uniform[a,b]
My solution so far:
At confidence level $c$
VaR $=(b-a)c+a$
TVaR $=((b+\text{VaR}/2)+ $VaR
CTE $=(a-b/2)$
Am I correct? The book's solution is kind of different.