On sequential maxima of exponential sample means, with an application to\n ruin probability

2019/06/21 by Dimitris Cheliotis, Cheliotis, Dimitris, Nickos Papadatos +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60E05 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Probability and Risk Models #Statistical Distribution Estimation and Applications

paper · pdf · doi:10.48550/arxiv.1906.09377

openalex publication_date 2019/06/21 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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

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