Question
PLEASE EXPLAIN THE ANSWER .Let X1 and X2 be two independent rvs X1 and X2 where Xi Exp(1). We know that X1 + X2 Gamma(2,1)
PLEASE EXPLAIN THE ANSWER .Let X1 and X2 be two independent rvs X1 and X2 where Xi Exp(1). We know that X1 + X2 Gamma(2,1) (which is equivalent of Erlang(2,1)). Find the values of VaR(X1 + X2), and VaR(X1) and VaR(X2). The answer is this :
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Linear Algebra A Modern Introduction
Authors: David Poole
3rd edition
9781133169574 , 978-0538735452
