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

被引：16

作者：

Cheng, Dongya ^{[1
]}

Ni, Fenglian ^{[1
,2
]}

Pakes, Anthony G. ^{[3
]}

Wang, Yuebao ^{[1
]}

机构：

[1] Soochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China

[2] Huaihai Inst Technol, Dept Math, Lianyungang 222005, Peoples R China

[3] Univ Western Australia, Sch Math & Stat, Crawley, WA 6009, Australia

来源：

JOURNAL OF THE KOREAN STATISTICAL SOCIETY | 2012年 / 41卷 / 04期

基金：

美国国家科学基金会;

关键词：

The exponential distribution class; Closure property under convolution; Tail equivalence; Ruin probability; TIME RUIN PROBABILITIES; HEAVY-TAILED INSURANCE; FINANCIAL RISKS; FINITE-TIME; CONVOLUTION EQUIVALENCE; INFINITE-DIVISIBILITY; ECONOMIC-ENVIRONMENT; CLOSURE; SUBEXPONENTIALITY; HORIZON;

D O I：

10.1016/j.jkss.2012.03.002

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper derives some equivalent conditions for tail equivalence of a distribution G and the convolution G*H, where G belongs to the exponential distribution class and H is another distribution. This generalizes some existing sufficient conditions and gives further insight into closure properties of the exponential distribution class. If G also is O-subexponential, then the new conditions are satisfied. The obtained results are applied to investigating asymptotic behavior for the finite-time ruin probability in a discrete-time risk model with both insurance and financial risks, where the distributions of the insurance risk or the product of the two risks may not belong to the convolution equivalence distribution class. (C) 2012 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.

引用

页码：515 / 527

页数：13

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