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A Renewal Shot Noise Process with Subexponential Shot Marks

College of Business and Public Administration, Drake University, Des Moines, IA 50311, USA
Risks 2019, 7(2), 63; https://doi.org/10.3390/risks7020063
Received: 28 April 2019 / Revised: 1 June 2019 / Accepted: 3 June 2019 / Published: 5 June 2019
(This article belongs to the Special Issue Heavy-Tail Phenomena in Insurance, Finance, and Other Related Fields)
We investigate a shot noise process with subexponential shot marks occurring at renewal epochs. Our main result is a precise asymptotic formula for its tail probability. In doing so, some recent results regarding sums of randomly weighted subexponential random variables play a crucial role. View Full-Text
Keywords: shot noise; subexponentiality; tail probability; randomly weighted sum; renewal process shot noise; subexponentiality; tail probability; randomly weighted sum; renewal process
MDPI and ACS Style

Chen, Y. A Renewal Shot Noise Process with Subexponential Shot Marks. Risks 2019, 7, 63.

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