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A Renewal Shot Noise Process with Subexponential Shot Marks

Yiqing Chen ()
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Yiqing Chen: College of Business and Public Administration, Drake University, Des Moines, IA 50311, USA

Risks, 2019, vol. 7, issue 2, 1-8

Abstract: 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.

Keywords: shot noise; subexponentiality; tail probability; randomly weighted sum; renewal process (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 M2 M4 K2 (search for similar items in EconPapers)
Date: 2019
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Handle: RePEc:gam:jrisks:v:7:y:2019:i:2:p:63-:d:237466