Annual mean: $250 \times 0.0112 = 2.80$ - Annual std: $\sqrt{250} \times 0.0890 = 1.407$ - $P(\text{loss}) = P(Z < -2.80/1.407) = P(Z < -1.99) = \Phi(-1.99) \approx 0.023 = **2.3%**$