Paper #673

Título:

On moments and tail behaviors of storage processes

Autores:

Arturo Kohatsu y Makoto Yamazato

Data:

Abril 2003

Resumen:

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 Lévy measures. Then, we study the asymptotical behavior of the tails of these processes using the concave or convex envelope of the release rate function.

Palabras clave:

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

Códigos JEL:

E22

Área de investigación:

Estadística, Econometría y Métodos Cuantitativos

Publicado en:

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

Descargar el paper en formato PDF