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On the existence of moments of ladder heights

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  • Aleskeviciene, A.K.

Abstract

Let S0, , where Xk, are iid random variables. Denote . Necessary and sufficient conditions are found for the existence of the moments of ladder heights SN- and SN+. These conditions are taken into consideration when calculating the moments of ladder heights in the cases EXk>0 and EXk

Suggested Citation

  • Aleskeviciene, A.K., 2008. "On the existence of moments of ladder heights," Statistics & Probability Letters, Elsevier, vol. 78(3), pages 282-285, February.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:3:p:282-285
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