Economics - Research Publications

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Subject: classical risk model × Subject: time to ruin × Start date: 2001 × End date: 2002 × Author: Dickson, David ×

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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.