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

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    41
    Author
    DICKSON, DCM; WILLMOT, E
    Date
    2005
    Source Title
    Astin Bulletin
    University of Melbourne Author/s
    Dickson, David
    Affiliation
    Economics
    Metadata
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    Document Type
    Journal Article
    Citations
    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 Access
    URI
    http://hdl.handle.net/11343/27928
    DOI
    10.2143/AST.35.1.583165
    Description

    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 Investment

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