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

DOI10.1016/J.JKSS.2012.03.002zbMATH Open1296.60035OpenAlexW2030781378MaRDI QIDQ457627FDOQ457627

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

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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)

Cites Work

• Ratio of the tail of an infinitely divisible distribution on the line to that of its Lévy measure
• Title not available (Why is that?)
• Title not available (Why is that?)
• Ruin problems with assets and liabilities of diffusion type
• Convolution equivalence and infinite divisibility
• Convolution equivalence and distributions of random sums
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Subexponentiality of the product of independent random variables
• On the ruin probabilities in a general economic environment
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• On the non-closure under convolution of the subexponential family
• Some asymptotic results for transient random walks
• Infinite divisibility and generalized subexponentiality
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• Degeneracy properties of subcritical branching processes
• Functions of probability measures
• Asymptotic ordering of distribution functions and convolution semigroups
• New examples of heavy-tailed O-subexponential distributions and related closure properties
• Random walks with non-convolution equivalent increments and their applications
• The full solution of the convolution closure problem for convolution- equivalent distributions
• Asymptotic behavior of the ratio of tail probabilities of sum and maximum of independent random variables
• From light tails to heavy tails through multiplier
• Finite time ruin probability with heavy-tailed insurance and financial risks
• The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
• The finite time ruin probability with the same heavy-tailed insurance and financial risks
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS
• Estimates for the finite-time ruin probability with insurance and financial risks

Cited In (14)

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

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