Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-oxford/2023/prelims/mathematics-iii/6/b/iii/solution

For an integer , is the same event as . Integration for the Pareto distribution gives
The second identity subtracts two successive tail probabilities, equivalently integrating over . If includes zero, the extra case is and , since almost surely.

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