Asymptotic behavior of the Gerber–Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims
We investigate the asymptotic behavior of the Gerber–Shiu discounted penalty function ɸ(u) = E(e−δT 1{T <∞} | U(0) = u), where T denotes the time to ruin in the Erlang(2) risk process. We obtain an asymptotic expression for the discounted penalty function when claim sizes are subexponentially dis...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2011-07-01
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| Series: | Nonlinear Analysis |
| Subjects: | |
| Online Access: | http://www.zurnalai.vu.lt/nonlinear-analysis/article/view/14095 |