Present Value of a Renewal Process
Dall'Aglio, Giorgio
Ann. Math. Statist., Tome 35 (1964) no. 4, p. 1326-1331 / Harvested from Project Euclid
This paper studies the present cost $C(\rho)$ of a renewal process, defined as the sum of the values of the costs of the replacements, considered at the starting time of the renewal process, with a compound interest. The characteristic function of $C(\rho)$ is found when the inter-arrival times $X_j$ are negatively exponentially distributed. The asymptotic properties of $C(\rho)$ as the force of interest $\rho$ tends to zero are studied in the general case, obtaining that if $X_1$ has finite moments of all orders, $C(\rho)$ is asymptotically normal; moreover, if we assume $EX^2_1 < \infty$, then the existence of all the moments of $X_1$ is necessary in order that the moments of $C(\rho)$ converge to the moments of the normal distribution.
Publié le : 1964-09-14
Classification: 
@article{1177703289,
     author = {Dall'Aglio, Giorgio},
     title = {Present Value of a Renewal Process},
     journal = {Ann. Math. Statist.},
     volume = {35},
     number = {4},
     year = {1964},
     pages = { 1326-1331},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177703289}
}
Dall'Aglio, Giorgio. Present Value of a Renewal Process. Ann. Math. Statist., Tome 35 (1964) no. 4, pp.  1326-1331. http://gdmltest.u-ga.fr/item/1177703289/