Covariance between the forward recurrence time and the number of renewals

Abstract

Recurrence times and the number of renewals in (0, t] are fundamental quantities in renewal theory. Firstly, it is proved that the upper orthant order for the pair of the forward and backward recurrence times may result in NWUC (NBUC) interarrivals. It is also demonstrated that, under DFR interarrival times, the backward recurrence time is smaller than the forward recurrence time in the hazard rate order. Lastly, the sign of the covariance between the forward recurrence time and the number of renewals in (0, t] at a fixed time point t and when t → ∞ is studied assuming that the interarrival distribution belongs to certain ageing classes.Keywords Renewal process, remaining term, forward recurrence time, number of renewals, covariance 2010 MSC 60K05, 60K10 ∞ 0 x k dF (x) for the k-th moment of F around zero; for simplicity, we write μ rather than μ 1 for the first moment. Also we assume that

Distribution of shifted discrete random walk generated by distinct random variables and applications in ruin theory

“…We now prove equality (11) in Theorem 1. The derivatives by s of both sides of equation (28) give (1−N) . (29) We continue the proof by letting s → 1 − in (29).…”

“…[20,37]), the variety of other numerical characteristics of renewal risk models than the defined ones in (3) and (4) (cf. [28,24]), and the research methods (cf. [42]) are the reasons which make the recent literature voluminous.…”