Past exam of the year 1 of the computer science course of the University of Oxford / 2019 / Discrete mathematics, continuous mathematics, and probability resit / 9 / a / iv / Solution

By the preceding convolution, $Z=X_1+X_2$ has a Poisson distribution with parameter $\nu =\lambda +\mu$. Directly from its probability mass function, shifting the index in the absolutely convergent sums gives $\mathbb{E}[Z]=\nu$ and $\mathbb{E}[Z(Z-1)]={\nu }^2$. Since $Z^2=Z(Z-1)+Z$, $\mathbb{E}[(X_1+X_2{)}^2]=(\lambda +\mu {)}^2+(\lambda +\mu )$. This is also the identity $\mathbb{E}[Z^2]=\mathrm{Var}(Z)+(\mathbb{E}[Z]{)}^2$.