Title :
An Asymptotic Estimation Of The Deficit Distribution In A Markov Chain Interest Risk Model
Author :
Liu, Yan ; Tang, Yinghui
Author_Institution :
Sch. of Manage., Univ. of Electron. Sci. & Technol. of China, Chengdu
Abstract :
This paper studies the asymptotic estimation of the deficit distribution in a Markov chain stochastic interest risk model by a monotone integral operator. Further, we give the estimation for the difference between the distribution of the deficit and the asymptotic formula. And the results improve further the older algorithm
Keywords :
Markov processes; risk analysis; statistical distributions; Markov chain stochastic interest risk model; asymptotic estimation; deficit distribution; monotone integral operator; ruin probability; Distribution functions; Economic indicators; Infinite horizon; Mathematical model; Mathematics; Random variables; Risk management; State-space methods; Stochastic processes; Technology management; Asymptotic estimation; Deficit distribution; Markov chain; Ruin probability;
Conference_Titel :
Service Systems and Service Management, 2006 International Conference on
Conference_Location :
Troyes
Print_ISBN :
1-4244-0450-9
Electronic_ISBN :
1-4244-0451-7
DOI :
10.1109/ICSSSM.2006.320651
