Paper #673

Títol:

On moments and tail behaviors of storage processes

Autors:

Arturo Kohatsu i Makoto Yamazato

Data:

Abril 2003

Resum:

We study the existence of moments and the tail behaviour of the densities of storage processes. We give sufficient conditions for existence and non-existence of moments using the integrability conditions of submultiplicative functions with respect to L�vy measures. Then, we study the asymptotical behavior of the tails of these processes using the concave or convex envelope of the release rate function.

Paraules clau:

Dam process, storage process, subordinator, submultiplicative functions, subexponentialiity

Codis JEL:

E22

Àrea de Recerca:

Estadística, Econometria i Mètodes Quantitatius

Publicat a:

Journal of Applied Probability, 20, (2003), pp. 1069-1086

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