Economics - Research Publications

Permanent URI for this collection

http://hdl.handle.net/11343/417

Filters

2002 1
1
Reset filters

Settings
Statistics
Citations
Type: Journal Article × Subject: classical risk model × Subject: time ruin probabilities. × Subject: time to ruin × Start date: 2001 × End date: 2002 ×

Search Results

Now showing 1 - 1 of 1
  • Item
    Thumbnail Image
    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.