Asymptotic behavior of the Gerber-Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims

被引：2

作者：

Kocetova, Jelena ^{[1
]}

Siaulys, Jonas ^{[1
]}

机构：

[1] Vilnius Univ, Dept Math & Informat, LT-03225 Vilnius, Lithuania

来源：

NONLINEAR ANALYSIS-MODELLING AND CONTROL | 2011年 / 16卷 / 03期

关键词：

Gerber-Shiu discounted penalty function; subexponential claim sizes; defective renewal equation; RUIN; MODEL; TIME;

D O I：

10.15388/NA.16.3.14095

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We investigate the asymptotic behavior of the Gerber-Shiu discounted penalty function f(u) = E(e(-delta T) 1({T<infinity}) vertical bar U (0) = u), where T denotes the time to ruin in the Erlang(2) risk process. We obtain an asymptotic expression for the discounted penalty function when claim sizes are subexponentially distributed.

引用

页码：315 / 331

页数：17

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