Subexponential potential asymptotics with applications

Abstract

Let $X_t^{♯}$ 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 $u(x)=E^x{\int }_0^{\infty }\ell (X_s^{♯})ds$. 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.