2012

WEI, L.——Acta Mathematicae Applicatae Sinica: Asymptotic Estimates of Gerber-Shiu Functions in the Renewal Risk Model with Exponential Claims

时间:2012-01-22
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.
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