### 摘要

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.

原文 | English |
---|---|

頁（從 - 到） | 342-355 |

頁數 | 14 |

期刊 | Sankhya: The Indian Journal of Statistics |

卷 | 80 |

出版狀態 | Published - 2018 一月 1 |

### All Science Journal Classification (ASJC) codes

- Statistics and Probability
- Statistics, Probability and Uncertainty

## 指紋 深入研究「A characterization of exponential distribution in risk model」主題。共同形成了獨特的指紋。

## 引用此

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.