Wednesday, December 26, 2018

probability - Calculating the expected value of a random variable that's a function of a random variable



I am working on the following problem:




enter image description here



I'm having a hard time putting all of this information together:



The cost of the maintenance is $Z = X + Y$, where $X$ is the cost of the first machine and $Y$ is the cost of the second machine.



The payment $T$ by the insurer is $Z$ if $0 \leq Z \leq 6000$ and $6000$ if $Z > 6000$.



$$
T(Z) = \left\{

\begin{array}{lr}
Z & \text{if } 0 \leq Z \leq 6000\\
6000 & \text{if } Z > 6000
\end{array}
\right.
$$



We want to find $E[T(Z)] = T(Z)\cdot Pr[T(Z)].$



From here I am uncertain about how to proceed. I know that a uniform random variable on $[0, 4000]$ has expected value $\frac{4000}{2} = 2000$. This has a probability of $\frac{1}{3}$ of occurring.




I would think $E[X] = E[Y] = \frac{4000}{6}$, and so $E[Z] = \frac{4000}{3}$.



I am just unsure of how to factor in what the insurer is actually paying.


Answer



The probability of $(0,0)$ occurring is $\frac23\cdot\frac23$; the probability of $(0,y)$ occurring, for $0$$
\frac49\cdot0 + \int_0^{4000} \frac{y\,dy}{18000} + \int_0^{4000} \frac{x\,dx}{18000} + \int_0^{4000} \int_0^{4000} \frac{\min\{x+y,6000\}\,dx\,dy}{12000^2}.
$$
Solving this calculus problem (splitting the last integral at the line $x+y=6000$) gives the answer $\frac{35750}{27} \approx 1324.07$.



No comments:

Post a Comment

analysis - Injection, making bijection

I have injection $f \colon A \rightarrow B$ and I want to get bijection. Can I just resting codomain to $f(A)$? I know that every function i...