 Solution

ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2009/m/3/b/ii/solution

For

w \geq 0

P (W \leq w) = P (R \leq w) = 1 - e^{- w /2}

f_{W} (w) = \frac{1}{2} e^{- w /2} 1_{{w \geq 0}} .

1/2

, with mean two and variance four.

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