2025/12/15 by Mikael Escobar‐Bach, Escobar-Bach, Mikael, Alexandre Popier +2
Decision Sciences · Economics, Econometrics and Finance · #Probability and Risk Models #Financial Risk and Volatility Modeling #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2512.13150
We consider a renewal process which models a cumulative shock model that fails when the accumulation of shocks up-crosses a certain threshold. The ratio limit properties of the probabilities of non-failure after n cumulative shocks are studied. We establish that the ratio of survival probabilities converges to the probability that the renewal epoch equals zero. This limit holds for any renewal process, subject only to mild regularity conditions on the individual shock random variable. Precisions on the rates of convergence are provided depending on the support structure and the regularity of the distribution. Arguments are provided to highlight the coherence between this new results and the pre-existing results on the behavior of summands of i.i.d. real random variables.