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.