A Characterization of Exponential Distribution in Risk Model

Chin Yuan Hu, Jheng Ting Wang, Tsung Lin Cheng

Research output: Contribution to journalArticle

Abstract

In the general risk model (or the Sparre-Andersen model), it is well-known that the following assertion holds: if the claim size is exponentially distributed then the non-ruin probability distribution is a mixture of exponential distributions. In this paper, under some general conditions, we prove that the converse statement of the previous assertion is also true. Besides, we define a new non-ruin measure associated with the aggregate logarithms of the claim-over-profit ratios and obtain a result on Pareto-type distributions.

Original languageEnglish
Pages (from-to)342-355
Number of pages14
JournalSankhya A
Volume80
Issue number2
DOIs
Publication statusPublished - 2018 Aug 1

Fingerprint

Exponential distribution
Assertion
Pareto
Logarithm
Converse
Profit
Probability Distribution
Model
Sparre Andersen model
Risk model
Probability distribution

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Cite this

Hu, Chin Yuan ; Wang, Jheng Ting ; Cheng, Tsung Lin. / A Characterization of Exponential Distribution in Risk Model. In: Sankhya A. 2018 ; Vol. 80, No. 2. pp. 342-355.
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A Characterization of Exponential Distribution in Risk Model. / Hu, Chin Yuan; Wang, Jheng Ting; Cheng, Tsung Lin.

In: Sankhya A, Vol. 80, No. 2, 01.08.2018, p. 342-355.

Research output: Contribution to journalArticle

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