Economics - Research Publications

Search Results

Now showing 1 - 5 of 5

The Distribution of the time to Ruin in the Classical Risk Model

Dickson, DCM ; Waters, HR (Cambridge University Press (CUP), 2002-01-01)

Abstract We study the distribution of the time to ruin in the classical risk model. We consider some methods of calculating this distribution, in particular by using algorithms to calculate finite time ruin probabilities. We also discuss calculation of the moments of this distribution.
Modern landmarks in actuarial science

DICKSON, DCM (The Institute of Actuaries of Australia, 2001)
On the time to ruin for Erlang(2) risk processes

Dickson, DCM ; Hipp, C (ELSEVIER SCIENCE BV, 2001-12-20)
The effect of recessions on the relationship between output variability and growth

Henry, OT ; Olekalns, N (WILEY, 2002-01-01)
On a correlated aggregate claims model with Poisson and Erlang risk processes

Yuen, KC ; Guo, JY ; Wu, XY (ELSEVIER SCIENCE BV, 2002-10-18)