Theoretical estimation of rare event probabilities in queueing and insurance risk models
| Project/Area Number |
21710151
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Kyoto University |
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Principal Investigator |
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| Project Period (FY) |
2009 – 2011
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| Project Status |
Completed (Fiscal Year 2011)
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| Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2011: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2010: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2009: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | 待ち行列 / 集合的リスク / マルコフ加法過程 / 累積過程 / 希少事象確率 / 漸近解析 / 保険リスク評価 / GI/G/1型マルコフ連鎖 / マルコフ連鎖 |
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| Research Abstract |
The goal of this research project is the theoretical estimation of rare event probabilities in queueing and insurance risk models. To achieve the goal, we studied the asymptotics for the stationary distributions of Markov additive processes with reflecting barriers and for the tail probabilities of cumulative processes sampled at heavy-tailed random times. As a result, we relaxed the conditions on some existing asymptotic formulas and derived new asymptotic formulas. Furthermore, we found out that some asymptotic formulas in the literature are incorrect.
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Report
(4 results)
Research Products
(32 results)
