Annual mean: $250 \times 0.0098 = 2.45$ - Annual std: $\sqrt{250} \times 0.0520 = 0.822$ - $P(\text{loss}) = P(Z < -2.45/0.822) = P(Z < -2.98) = \Phi(-2.98) \approx 0.0014 = **0.14%**$