Title :
Research on the Risk Model Based on Markov Chain
Author :
Shuqin, Cai ; Ge, Wang ; Yan, Liu
Author_Institution :
Sch. of Manage., Huazhong Univ. of Sci. & Technol., Wuhan
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, estimation for the difference between the distribution of the deficit and the asymptotic formula is given. Moreover, some bounds of the deficit distribution are discussed. These results improve further the older algorithm.
Keywords :
Markov processes; economic indicators; Markov chain; asymptotic estimation; deficit distribution; monotone integral operator; stochastic interest risk model; Communication system control; Distributed computing; Economic indicators; Infinite horizon; Mathematical model; Mathematics; Random variables; Risk management; Stochastic processes; Technology management; Asymptotic estimation; Bounds; Markov chai; Ruin probability;
Conference_Titel :
Computing, Communication, Control, and Management, 2008. CCCM '08. ISECS International Colloquium on
Conference_Location :
Guangzhou
Print_ISBN :
978-0-7695-3290-5
DOI :
10.1109/CCCM.2008.379
