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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| Format: | Article |
| Language: | English |
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MDPI AG
2019-06-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/7/2/63 |