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Asymptotic estimates of Gerber-Shiu functions in the renewal risk model with exponential claims. (English) Zbl 1355.91049
Summary: This paper continues (cf. [Q. Tang and L. Wei, Insur. Math. Econ. 46, No. 1, 19–31 (2010; Zbl 1231.91243)]) 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.
91B30 Risk theory, insurance (MSC2010)
60K05 Renewal theory
62E20 Asymptotic distribution theory in statistics
Full Text: DOI
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