A renewal shot noise process with subexponential shot marks

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.

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Year of publication:	2019
Authors:	Chen, Yiqing
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 7.2019, 2, p. 1-8
Publisher:	Basel : MDPI
Subject:	shot noise \| subexponentiality \| tail probability \| randomly weighted sum \| renewal process

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks7020063 [DOI] 1667889540 [GVK] hdl:10419/257901 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10013200481