Question

Extra Credit Question:[4+4=8 pts) If E [exp(aX)] exists for a given constant a, then show that for to (a) exp(-at)P(x >t) <E (exp(aX)], if a > 0. (b) exp(-at)P(X <t) <E (exp(aX)], if a < 0.

Answer 1

The detailed solution is given in the pictures below.

Please go through them carefully specially the notations.

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