DocumentCode
2718529
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
Volume
3
fYear
2008
fDate
3-4 Aug. 2008
Firstpage
368
Lastpage
374
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Computing, Communication, Control, and Management, 2008. CCCM '08. ISECS International Colloquium on
Conference_Location
Guangzhou
Print_ISBN
978-0-7695-3290-5
Type
conf
DOI
10.1109/CCCM.2008.379
Filename
4609859
Link To Document