Author:
Kerner Yoav,Löpker Andreas
Abstract
We show that overshoots over Erlang random variables give rise to a natural generalization of the stationary excess operator and its iterates. The new operators can be used to derive expansions for the expectation Eg(X) of a non-negative random variable, similar to Taylor-like expansions encountered when studying stationary excess operators.
Publisher
Cambridge University Press (CUP)
Subject
Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability