Subexponential potential asymptotics with applications

DOI10.1017/APR.2021.49MaRDI QIDQ5055328zbMATH OpenOpenAlexFDO

Authors Zbigniew Palmowski, V. Knopova

Publication date 13 December 2022

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1911.10345

zbMATH Keywords

applicationsLévy processespotentialrenewal equationsubexponential distribution

Mathematics Subject Classification ID

Renewal theory (60K05) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Actuarial mathematics (91G05)

Abstract: Let $X_t^{s}harp$ be a multivariate process of the form $X_t=Y_t-Z_t$, $X_0=x$, killed at some terminal time $T$, where $Y_t$ is a Markov process having only jumps of the length smaller than $delta$, and $Z_t$ is a compound Poisson process with jumps of the length bigger than $delta$ for some fixed $delta>0$. Under the assumptions that the summands in $Z_t$ are sub-exponential, we investigate the asymptotic behaviour of the potential function $u(x)=E^{x}in{t}_0^{i}nftyell(X_s^{s}harp)ds$. The case of heavy-tailed entries in $Z_t$ corresponds to the case of "big claims" in insurance models and is of practical interest. The main approach is based on fact that $u(x)$ satisfies a certain renewal equation.

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