Some properties of the exponential distribution class with applications to risk theory

DOI10.1016/j.jkss.2012.03.002zbMath1296.60035OpenAlexW2030781378MaRDI QIDQ457627

Anthony G. Pakes, Fenglian Ni, Dong Ya Cheng, Yue-bao Wang

Publication date: 29 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2012.03.002

zbMATH Keywords

ruin probabilityclosure property under convolutionexponential distribution classtail equivalence

Mathematics Subject Classification ID

Related Items (12)

On the closure under infinitely divisible distribution roots ⋮ Closure properties of \(O\)-exponential distributions ⋮ Randomly weighted sums of dependent subexponential random variables with applications to risk theory ⋮ On asymptotic equivalence among the solutions of some defective renewal equations ⋮ On a closure property of convolution equivalent class of distributions ⋮ Tail behavior of the product of two dependent random variables with applications to risk theory ⋮ The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands ⋮ Infinite-time absolute ruin in dependent renewal risk models with constant force of interest ⋮ Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks ⋮ Estimates for the finite-time ruin probability with insurance and financial risks ⋮ Tail behavior of supremum of a random walk when Cramér's condition fails ⋮ Randomly stopped minima and maxima with exponential-type distributions

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