 Solution

The expected value is the improper integral $\alpha {\int }_1^{\infty }{x}^{-\alpha }dx$. It converges exactly when $\alpha >1$, yieldingAt $\alpha =1$ this improper integral diverges logarithmically, and for $0<\alpha <1$ it diverges as a power of its upper endpoint. In both cases the nonnegative variable has infinite mean. This is the first Pareto moment threshold.