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- W2079525147 abstract "Let ( X , S ) = {( X n , S n ); n ≧0} be a Markov random walk with finite state space. For a ≦ 0 < b define the stopping times τ= inf { n : S n > b } and T = inf{ n : S n ∉( a, b )}. The diffusion approximations of a one-barrier probability P {τ < ∝ | X o = i }, and a two-barrier probability P { S T ≧ b | X o = i } with correction terms are derived. Furthermore, to approximate the above ruin probabilities, the limiting distributions of overshoot for a driftless Markov random walk are involved." @default.
- W2079525147 created "2016-06-24" @default.
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- W2079525147 date "1997-09-01" @default.
- W2079525147 modified "2023-10-18" @default.
- W2079525147 title "Corrected Diffusion Approximations for Ruin Probabilities in a Markov Random Walk" @default.
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- W2079525147 doi "https://doi.org/10.2307/1428082" @default.
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