A Characterization of Exponential Distribution in Risk Model

Chin Yuan Hu, Jheng Ting Wang, Tsung Lin Cheng

研究成果: Article


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.

頁(從 - 到)342-355
期刊Sankhya A
出版狀態Published - 2018 八月 1

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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