A characterization of exponential distribution in risk model

Chin Yuan Hu, Jheng Tinng 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: The Indian Journal of Statistics
Volume80
Publication statusPublished - 2018 Jan 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

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A characterization of exponential distribution in risk model. / Hu, Chin Yuan; Wang, Jheng Tinng; Cheng, Tsung-Lin.

In: Sankhya: The Indian Journal of Statistics, Vol. 80, 01.01.2018, p. 342-355.

Research output: Contribution to journalArticle

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