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Jun 02'22

Exercise

A loss variable [math]L[/math] has a density function that is proportional to

[[math]] x^{\alpha -1}e^{-x/\theta}. [[/math]]

The parameters [math]\theta [/math] and [math]\alpha [/math] are random with the following joint distribution

[math]\alpha = 1 [/math] [math]\alpha = 2[/math]
[math]\theta = 500 [/math] 0.25 0.35
[math]\theta = 1000 [/math] 0.15 0.25

Determine the standard deviation of [math]L[/math] to the nearest integer.

  1. 298
  2. 1,088
  3. 1,220
  4. 1,279
  5. 1,565
Jun 02'22

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