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2019 On sequential maxima of exponential sample means, with an application to ruin probability
Dimitris Cheliotis, Nickos Papadatos
Electron. Commun. Probab. 24: 1-7 (2019). DOI: 10.1214/19-ECP273

Abstract

We obtain the distribution of the maximal average in a sequence of independent identically distributed exponential random variables. Surprisingly enough, it turns out that the inverse distribution admits a simple closed form. An application to ruin probability in a risk-theoretic model is also given.

Citation

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Dimitris Cheliotis. Nickos Papadatos. "On sequential maxima of exponential sample means, with an application to ruin probability." Electron. Commun. Probab. 24 1 - 7, 2019. https://doi.org/10.1214/19-ECP273

Information

Received: 27 June 2019; Accepted: 28 October 2019; Published: 2019
First available in Project Euclid: 3 December 2019

zbMATH: 07142645
MathSciNet: MR4040941
Digital Object Identifier: 10.1214/19-ECP273

Subjects:
Primary: 60E05
Secondary: 60F05

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