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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.
Persistent link: https://www.econbiz.de/10012018965
Asymptotic results are obtained for several conditional measures of association. The chosen random variables are the first two order statistics and the total sum within a random sum. Many of the results have confirmed the “one-jump” property of the risk model. Non-trivial limits are obtained...
Persistent link: https://www.econbiz.de/10012937883
Persistent link: https://www.econbiz.de/10012491954