On the number of renewals in random time

For the renewal counting process M(t)=min{k:Sk>t} and the independent of it nonnegative random variable T, we investigate the asymptotic behaviour of P(M(t)<T) and P(M(t)<=K(t)x|M(t)<T) in cases when the interarrival times have an infinite mean. These quantities appear in a natural way when considering limiting behaviour of random time changed branching processes and shock models.

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Year of publication:	2009
Authors:	Omey, Edward ; Mitov, Georgi K. ; Mitov, Kosto V.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 21, p. 2281-2288
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008474332