On the concavity of the infinitesimal renewal function

R. Szekli

Statistics & Probability Letters, 1990, vol. 10, issue 3, 181-184

Abstract: The expected time of the first passage above a level of a process with stationary independent non-negative increments is studied. It is called infinitesimal renewal function. Results analogous to Brown's (1980) concavity result on the conventional renewal function, for the infinitesimal renewal function, are proved. Some connections with Brown's (1981) conjecture and shock models are pointed out.

Keywords: Infinitesimal; renewal; function; DFR; distribution; geometric; compounding; Poisson; shock; model (search for similar items in EconPapers)
Date: 1990
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