An asymptotic estimation of the deficit distribution in a Markov chain interest risk model

被引：1

作者：

Liu, Yan ^{[1
]}

Tang, Yinghui ^{[2
,3
]}

机构：

[1] Univ Elect Sci & Technol China, Sch Management, Chengdu 610054, Peoples R China

[2] Sichuan Normal Univ, Sch Math & Software Sci, Chengdu 610054, Peoples R China

[3] Univ Elect Sci & Technol China, Sch Appl Math, Chengdu 610054, Peoples R China

来源：

2006 INTERNATIONAL CONFERENCE ON SERVICE SYSTEMS AND SERVICE MANAGEMENT, VOLS 1 AND 2, PROCEEDINGS | 2006年

关键词：

asymptotic estimation; deficit distribution; Markov chain; ruin probability;

D O I：

10.1109/ICSSSM.2006.320651

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：1038 / 1042

页数：5