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 0Z6000 and 6000 if Z>6000.



T(Z)={Zif 0Z60006000if Z>6000



We want to find E[T(Z)]=T(Z)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 40002=2000. This has a probability of 13 of occurring.




I would think E[X]=E[Y]=40006, and so E[Z]=40003.



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


Answer



The probability of (0,0) occurring is 2323; the probability of (0,y) occurring, for $0490+40000ydy18000+40000xdx18000+4000040000min
Solving this calculus problem (splitting the last integral at the line x+y=6000) gives the answer \frac{35750}{27} \approx 1324.07.



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