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.
|Number of pages||14|
|Journal||Sankhya: The Indian Journal of Statistics|
|Publication status||Published - 2018 Jan 1|
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty