离散时间模型下的罚金折现期望的渐近解

Asymptotic solution of expected discounted penalty in the compound binomial model

在调节系数存在的前提下,对于充分大的初始盈余,利用离散更新方程的一个极限定理,给出了罚金折现期望Φ(u;ω)的渐近解.然后通过对ω的不同形式的讨论,得出f(u;x),g(u,y)与ψ(u)的渐近解.

When the initial surplus is large enough, using the limit theorem of discrete renewal equation, given that the adjustment coefficient exists, asympototic solution of Φ（u ;ω） is induced. Meanwhile, the asymptotic solution of f（u;x） ,g（u;y） andφ（u） are obtained respectively.