On sequential maxima of exponential sample means, with an application to ruin probability

DOI10.1214/19-ECP273zbMath1448.60031arXiv1906.09377WikidataQ115517736 ScholiaQ115517736MaRDI QIDQ2279091

Dimitris Cheliotis, Nickos Papadatos

Publication date: 12 December 2019

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.09377

zbMATH Keywords

exponential distributionruin probabilityLambert \(W\) functionmaximal average

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05) Actuarial mathematics (91G05)

Cites Work

• A polytope related to empirical distributions, plane trees, parking functions, and the associahedron
• On the Lambert \(w\) function
• Abel series distributions with applications to fluctuations of sample functions of stochastic processes
• Probability
• Unnamed Item
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