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Tail Behavior of Poisson Shot Noise Processes under Heavy-tailed Shocks and Actuarial Applications

โœ Scribed by Weng, Chengguo; Zhang, Yi; Tan, Ken Seng

Book ID
120600221
Publisher
Springer US
Year
2012
Tongue
English
Weight
514 KB
Volume
15
Category
Article
ISSN
1387-5841

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This paper studies the tail behavior of the Poisson shot-noise processes with interdependent and heavy-tailed random shocks. In the presence of statistical dependence between the shock and its arrival time we establish the asymptotic behavior of the tail probability. Two examples are presented as il