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| Tail Asymptotics for a Class of Infinite Phase Type Distributions |
| ZHANG HongBo;HOU ZhenTing |
School of Mathematics and Statistics, Henan Institute of Finance and Banking, Zhengzhou,450046, China;School of Mathematics and Statistics, Central
South University, Changsha, 410075, China |
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Abstract In this paper, we discuss tail asymptoticsproperties for a class of infinite phase type distributions based onprobability generating function or Laplace-Stieltjes transform. The results show that, unlike finite phase cases, the tail asymptotics for the infinite phase type distributions we considered do not decay
geometrically or exponentially.
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