A proof of Feige's Conjecture

Abstract: Let $X_{1}, ..., X_{n}$ be arbitrary non-negative independent random variables with respective expected values $\mu_{i}$ at most one and $\delta > 0$. We prove Feige's Conjecture $\mathbb{P} \left( \sum_{i=1}^{n} X_{i} < \mu + \delta \right) \geq \min \left{ \frac{\delta}{1 + \delta} \, , \, \exp \left(-1 \right) \right}$, where $\mu$ is the expected value of the sum of the random variables. We show by a simple example how this inequality finds use in mathematical finance.