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 language | English |
|---|---|
| Pages (from-to) | 342-355 |
| Number of pages | 14 |
| Journal | Sankhya: The Indian Journal of Statistics |
| Volume | 80 |
| Publication status | Published - 2018 Jan 1 |
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All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
Cite this
Hu, C. Y., Wang, J. T., & Cheng, T-L. (2018). A characterization of exponential distribution in risk model. Sankhya: The Indian Journal of Statistics, 80, 342-355.