This preview shows pages 1–5. Sign up to view the full content.
This preview has intentionally blurred sections. Sign up to view the full version.
View Full DocumentThis preview has intentionally blurred sections. Sign up to view the full version.
View Full Document
Unformatted text preview: if X is continuous with pdf f X . Var( E ( Y  X )) = X x i ( E ( Y  X = x i )) 2 p X ( x i ) X x i E ( Y  X = x i ) p X ( x i ) 2 if X is discrete with pmf p X ; Var( E ( Y  X )) = Z  ( E ( Y  X = x )) 2 f X ( x ) dxZ  E ( Y  X = x ) f X ( x ) dx 2 if X is continuous with pdf f X . Example : Back to the example where the number of claims arriving to an insurance company in a week is a Poisson random variable N with mean 20, and the amounts of dierent claims are independent exponentially distributed random variables with mean 800. Compute the variance of the total claim amount the company receives in a week....
View
Full
Document
 '09
 SAMORODNITSKY

Click to edit the document details