Economics - Research Publications

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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.
On the time to ruin for Erlang(2) risk processes

Dickson, DCM ; Hipp, C (ELSEVIER SCIENCE BV, 2001-12-20)