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Topic: Stochastic processes - claim arrival process
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Allan

Posts: 1
From: Portugal
Registered: 4/3/11
Stochastic processes - claim arrival process
Posted: Apr 3, 2011 5:32 PM
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Hey guys, I was doing some work on stochastic processes and came up with the following problem:
N is a Poison(lambda) process and L is the arrival time of the last claim on the interval [0,t]. I have to calculate expected value E(t-L).
I was considering calculating E(L) first and subtracting it from t. As for L... I have no idea how to calculate it. Tried to work with conditional expectations but nothing good came of it. Can I expect that t-L is also Poison(lambda) distributed?
Any hints on this problem guys?



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