Resumen de On the Gerber-Shiu discounted penalty function for subexponential claims

Jonas Siaulys, R. Asanaviciuute

• 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.