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2842概率中等derivationmedium

Compound Poisson with Exponential Severities

题目

Claims arrive according to NPoisson(λ)N\sim\mathrm{Poisson}(\lambda). Claim sizes X1,X2,X_1,X_2,\dots are i.i.d. Exponential(β)\mathrm{Exponential}(\beta) with rate β\beta, independent of NN. Let S=i=1NXiS=\sum_{i=1}^N X_i. Derive the MGF of SS, and compute E[S]E[S] and Var(S)\mathrm{Var}(S).

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E[S]

Var(S)