Economics - Research Publications
Permanent URI for this collection
Now showing 1 - 3 of 3
ItemThe Distribution of the time to Ruin in the Classical Risk ModelDickson, 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.
ItemOn the time to ruin for Erlang(2) risk processesDickson, DCM ; Hipp, C (ELSEVIER SCIENCE BV, 2001-12-20)