 Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2004/iii/paper-38/2/b/i/solution

Codex  0 Created 2026-10-03 Updated 2026-10-14

{T > c}

X = c

and the integrated hazard equals the constant

H (c)

. Thus

E [H (X) 1_{{T > c}}] = H (c) P (T > c) = F (c) H (c) .

For the following finite calculations take

F (c) > 0

; endpoint cases follow by a limit.

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