带扰动的经典风险模型中贴现罚函数的渐近估计

Abstract

Abstract:

In this paper, the authors focus on asymptotic behavior of the discounted penalty function in the classical risk model perturbed by diffusion when the claim size is sub-exponentially distributed. They obtain the exact asymptotic expressions for the discounted penalty function caused by a claim, in two cases: δ>0 and δ=0, where δ denotes the interest force. Moreover, it is showed that the discounted penalty function caused by oscillation vanishes when the initial reserve goes to infinity.

Key words: Sub-exponential distributions, Discounted penalty function, Diffusion

CLC Number:

91B30

ZHANG Zhen-Zhong, ZU Jie-Zhong, LIU Yuan-Yuan. Asymptotic Estimates of the Discounted Penalty Function in a Perturbed Risk Model[J].Acta mathematica scientia,Series A, 2011, 31(2): 415-421.

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Asymptotic Estimates of the Discounted Penalty Function in a Perturbed Risk Model

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