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

Published 22 Jun 2019 in math.PR | (1906.09377v1)

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.

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