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 distr...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.展开更多
基金the supports from the Fundamental Research Funds for the Central Universitiesthe Research Funds of Renmin University of China (the International Journal Issue Program, Grant No. 10XNK061, the Research Grant Program, Grant No. 10XNA001)the important project of Beijing Planning Office of Philosophy and Social Science (Grant No. 09ZDA05).
文摘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.
