On the Gerber-Shiu discounted penalty function for subexponential claims

• Autores: Jonas Siaulys, R. Asanaviciuute
• Localización: Lithuanian mathematical journal, ISSN 0363-1672, Vol. 46, Nº. 4, 2006, págs. 487-493
• Idioma: inglés
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• Resumen

  • We obtain the asymptotics of the Gerber-Shiu discounted penalty function in the classical Lundberg model. We cosider claims from a class of subexponential distributions and find the asymptotics as the initial surplus x tends to infinity. The main term of the discounted penalty function ?(x, d) has different expressions in the cases where the interest rate d > 0 and where d = 0.