Title :
Asymptotic Error of the Deficit Distribution in a Markov Chain Interest Risk Model
Author :
Cai Shu Qin ; Wang Ge ; Liu Yan
Author_Institution :
Sch. of Manage., Huazhong Univ. of Sci. & Technol., Wuhan
Abstract :
This paper studies the error of the asymptotic estimation of the deficit distribution for insurer by a monotone integral operator in a Markov chain interest discrete time risk model. Further, we obtain some bounds of the asymptotic error of the asymptotic estimation formula. These bounds can improve the performance of previous models.
Keywords :
Markov processes; estimation theory; insurance; risk analysis; statistical distributions; Markov chain interest discrete time risk model; asymptotic estimation formula; deficit distribution; insurer; monotone integral operator; ruin probability; Asymptotic stability; Distribution functions; Economic indicators; Infinite horizon; Mathematical model; Mathematics; Paper technology; Random variables; Risk management; Technology management;
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
Conference_Location :
Dalian
Print_ISBN :
978-1-4244-2107-7
Electronic_ISBN :
978-1-4244-2108-4
DOI :
10.1109/WiCom.2008.2425
