On sequential maxima of exponential sample means, with an application to ruin probability
Probability
2019-06-25 v1
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.
Cite
@article{arxiv.1906.09377,
title = {On sequential maxima of exponential sample means, with an application to ruin probability},
author = {Dimitris Cheliotis and Nickos Papadatos},
journal= {arXiv preprint arXiv:1906.09377},
year = {2019}
}
Comments
8 pages, 1 figure