We say that Z is exponentially distributed with parameter > 0 if the distribution function of
Question:
P (Z < z) = 1 − e−λx
(a) Determine and plot the density function of Z.
(b) Calculate E[Z].
(c) Obtain the variance of Z.
(d) Suppose Z1 and Z2 are both distributed as exponential and are independent. Calculate the distribution of their sum:
S = Z1 + Z2
(e) Calculate the mean and the variance of S.
Distribution
The word "distribution" has several meanings in the financial world, most of them pertaining to the payment of assets from a fund, account, or individual security to an investor or beneficiary. Retirement account distributions are among the most...
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Related Book For
An Introduction to the Mathematics of Financial Derivatives
ISBN: 978-0123846822
3rd edition
Authors: Ali Hirsa, Salih N. Neftci
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