A characterization of exponential distribution in risk model

Chin Yuan Hu, Jheng Tinng Wang, Tsung-Lin Cheng

研究成果: Article

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
80
出版狀態Published - 2018 一月 1

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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