Asymptotic estimates of Gerber-Shiu functions in the renewal risk model with exponential claims |
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| Authors: | Li Wei |
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| Institution: | Li WEI1,2 1School of Finance, Renmin University of China, Beijing 100872, China 2China Financial Policy Research Center, Renmin University of China, Beijing 100872, China |
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| Abstract: | 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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| Keywords: | asymptotics exponential claims Gerber-Shiu functions renewal risk model |
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