Thorin processes and their subordination

A Thorin process is a stochastic process with independent and stationary increments whose laws are weak limits of finite convolutions of gamma distributions. Many popular L & eacute;vy processes fall under this class. The Thorin class can be characterized by a representing triplet that conveys more information on the process compared to the L & eacute;vy triplet. In this paper, we investigate some relationships between the Thorin structure and the process properties, and find that the support of the Thorin measure characterizes the existence of the critical exponential moment, as well as the asymptotic equivalence between the L & eacute;vy tail function and the complementary distribution function. Furthermore, it is illustrated how univariate Brownian subordination with respect to Thorin subordinators produces Thorin processes whose representing measure is given by a pushforward with respect to a hyperbolic function, leading to arguably easier formulae compared to the Bochner integral determining the L & eacute;vy measure. We provide a full account of the theory of multivariate Thorin processes, starting from the Thorin-Bondesson representation for the characteristic exponent, and highlight the roles of the Thorin measure in the analysis of density functions, moments, path variation and subordination. Various old and new examples are discussed. We finally detail a treatment of subordination of gamma processes with respect to negative binomial subordinators which is made possible by the Thorin-Bondesson representation.

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Journal
Scandinavian Actuarial Journal
Published
2025-05-20
DOI
https://doi.org/10.1080/03461238.2025.2501062
Primary Topic
Stochastic processes and financial applications
Type
article
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article

Thorin processes and their subordination

Lorenzo Torricelli
Scandinavian Actuarial Journal
Stochastic processes and financial applications
article

Thorin processes and their subordination

Lorenzo Torricelli
article en

Abstract

A Thorin process is a stochastic process with independent and stationary increments whose laws are weak limits of finite convolutions of gamma distributions. Many popular L & eacute;vy processes fall under this class. The Thorin class can be characterized by a representing triplet that conveys more information on the process compared to the L & eacute;vy triplet. In this paper, we investigate some relationships between the Thorin structure and the process properties, and find that the support of the Thorin measure characterizes the existence of the critical exponential moment, as well as the asymptotic equivalence between the L & eacute;vy tail function and the complementary distribution function. Furthermore, it is illustrated how univariate Brownian subordination with respect to Thorin subordinators produces Thorin processes whose representing measure is given by a pushforward with respect to a hyperbolic function, leading to arguably easier formulae compared to the Bochner integral determining the L & eacute;vy measure. We provide a full account of the theory of multivariate Thorin processes, starting from the Thorin-Bondesson representation for the characteristic exponent, and highlight the roles of the Thorin measure in the analysis of density functions, moments, path variation and subordination. Various old and new examples are discussed. We finally detail a treatment of subordination of gamma processes with respect to negative binomial subordinators which is made possible by the Thorin-Bondesson representation.

Scandinavian Actuarial JournalVol. 2026(1)
University of Bologna (IT)
Openalex Percentile: Top 85%
Stochastic processes and financial applications
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