A Renewal Shot Noise Process with Subexponential Shot Marks

被引：2

作者：

Chen, Yiqing ^{[1
]}

机构：

[1] Drake Univ, Coll Business & Publ Adm, Des Moines, IA 50311 USA

来源：

RISKS | 2019年 / 7卷 / 02期

关键词：

shot noise; subexponentiality; tail probability; randomly weighted sum; renewal process; LIMIT-THEOREMS; COX PROCESS; TAIL RISK; PORTFOLIO; DRIVEN;

D O I：

10.3390/risks7020063

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：8