The density of the time to ruin in the classical Poisson risk model

Download
Author
DICKSON, DCM; WILLMOT, EDate
2005Source Title
Astin BulletinUniversity of Melbourne Author/s
Dickson, DavidAffiliation
EconomicsMetadata
Show full item recordDocument Type
Journal ArticleCitations
DICKSON, D. C. M. & WILLMOT, E. (2005). The density of the time to ruin in the classical Poisson risk model. Astin Bulletin, 35 (1), pp.45-60. https://doi.org/10.2143/AST.35.1.583165.Access Status
Open AccessDescription
C1 - Refereed Journal Article
Abstract
We derive an expression for the density of the time to ruin in the classical risk model by inverting its Laplace transform. We then apply the result when the individual claim amount distribution is a mixed Erlang distribution, and show how finite time ruin probabilities can be calculated in this case.
Keywords
Banking; Finance and InvestmentExport Reference in RIS Format
Endnote
- Click on "Export Reference in RIS Format" and choose "open with... Endnote".
Refworks
- Click on "Export Reference in RIS Format". Login to Refworks, go to References => Import References
Collections
- Minerva Elements Records [45770]
- Economics - Research Publications [584]