• DocumentCode
    1672409
  • 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
  • Volume
    2
  • fYear
    2006
  • Firstpage
    1038
  • Lastpage
    1042
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • 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
  • Type

    conf

  • DOI
    10.1109/ICSSSM.2006.320651
  • Filename
    4114633
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1672409