Asymptotic behavior of the Gerber–Shiu discounted penalty function in the Erlang(2)risk process with subexponential claims

摘要

We investigate the asymptotic behavior of the Gerber–Shiu discounted penalty function (u) = E??e?? T 1fT<1g 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 distributed.