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- W2989565455 abstract "Abstract Let $X_t^sharp$ 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 length smaller than $delta$ , and $Z_t$ is a compound Poisson process with jumps of length bigger than $delta$ , for some fixed $delta>0$ . Under the assumptions that the summands in $Z_t$ are subexponential, we investigate the asymptotic behaviour of the potential function $u(x)= mathbb{E}^x int_0^infty ellbig(X_s^sharpbig)ds$ . 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 the fact that u ( x ) satisfies a certain renewal equation." @default.
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- W2989565455 date "2022-06-13" @default.
- W2989565455 modified "2023-10-18" @default.
- W2989565455 title "Subexponential potential asymptotics with applications" @default.
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- W2989565455 doi "https://doi.org/10.1017/apr.2021.49" @default.
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