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
收藏
页码：31 / 38
页数：8
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