This problem asks us to calculate the probability of the claim of event1 is greater than claim event 2. Both events are modeled on normal distributions. The solution depends on linear combination of independent normal random variables. However, the question came to mind, what if they weren't both normal distributions. If you had one event as a say a normal and one event as a uniform distribution, could you calculate the probability that claim event 1 would be greater than claim event 2? And with this as well, is this part of P1 expectation?
SOA Sample Problem 42