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

DOI10.1016/J.JKSS.2012.03.002MaRDI QIDQ457627zbMATHOpenAlexFDO

Authors Fenglian Ni, Anthony G. Pakes, Dongya Cheng, Yuebao 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

Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3662269 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS
• Asymptotic behavior of the ratio of tail probabilities of sum and maximum of independent random variables
• Asymptotic ordering of distribution functions and convolution semigroups
• Convolution equivalence and distributions of random sums
• Convolution equivalence and infinite divisibility
• Degeneracy properties of subcritical branching processes
• Estimates for the finite-time ruin probability with insurance and financial risks
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Finite time ruin probability with heavy-tailed insurance and financial risks
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• From light tails to heavy tails through multiplier
• Functions of probability measures
• Infinite divisibility and generalized subexponentiality
• New examples of heavy-tailed O-subexponential distributions and related closure properties
• On the non-closure under convolution of the subexponential family
• On the ruin probabilities in a general economic environment
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Random walks with non-convolution equivalent increments and their applications
• Ruin problems with assets and liabilities of diffusion type
• Some asymptotic results for transient random walks
• Subexponentiality of the product of independent random variables
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• The finite time ruin probability with the same heavy-tailed insurance and financial risks
• The full solution of the convolution closure problem for convolution- equivalent distributions
• The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk

Cited in

(14)

• Tail behavior of supremum of a random walk when Cramér's condition fails
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands
• Asymptotics of convolution with the semi-regular-variation tail and its application to risk
• On asymptotic equivalence among the solutions of some defective renewal equations
• Infinite-time absolute ruin in dependent renewal risk models with constant force of interest
• The exponential T-X family of distributions: properties and an application to insurance data
• On the closure under infinitely divisible distribution roots
• 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
• Estimates for the finite-time ruin probability with insurance and financial risks
• Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks
• Randomly stopped minima and maxima with exponential-type distributions
• Closure properties of \(O\)-exponential distributions

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