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    A Characterization of Exponential Distribution in Risk Model

    In the general risk model (or the Sparre-Andersen model), it is well-known that the following assertion holds: if the claim size is exponentially distributed then the non-ruin probability distribution is a mix...

    Chin-Yuan Hu, Jheng-Ting Wang, Tsung-Lin Cheng in Sankhya A (2018)