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241概率简单数值题short

Tail Probability and Conditional Expectation of the Pareto Distribution

题目

The Pareto distribution with shape α>0\alpha > 0 and scale xm>0x_m > 0 has PDF f(x)=αxmαxα+1,xxm.f(x) = \frac{\alpha\, x_m^\alpha}{x^{\alpha+1}}, \quad x \geq x_m.

(a) Derive P(X>t)P(X > t) for txmt \geq x_m.

(b) Derive E[XX>t]E[X \mid X > t] for α>1\alpha > 1 and txmt \geq x_m.

(c) Compute both quantities for α=3\alpha = 3, xm=1x_m = 1, t=2t = 2.

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你的答案

a

b

c_survival

c_conditional_mean