Asymptotic estimates of Gerber-Shiu functions in the renewal risk model with exponential claims

被引：0

作者：

Wei, Li ^{[1
,2
]}

机构：

[1] Renmin Univ China, Sch Finance, Beijing 100872, Peoples R China

[2] Renmin Univ China, China Financial Policy Res Ctr, Beijing 100872, Peoples R China

来源：

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2012年 / 28卷 / 01期

关键词：

asymptotics; exponential claims; Gerber-Shiu functions; renewal risk model; PROBABILITY; RUIN;

D O I：

10.1007/s10255-012-0121-2

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper continues to study the asymptotic behavior of Gerber-Shiu expected discounted penalty functions in the renewal risk model as the initial capital becomes large. Under the assumption that the claim-size distribution is exponential, we establish an explicit asymptotic formula. Some straightforward consequences of this formula match existing results in the field.

引用

页码：31 / 38

页数：8

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