| 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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| 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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