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A Renewal Shot Noise Process with Subexponential Shot Marks
Yiqing Chen (College of Business and Public Administration, Drake University, Des Moines, IA 50311, USA)
Risks
Licence : CC BY 4.0
Résumé : 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.
Publié le 05 Jui. 2019