The density of the time to ruin in the classical Poisson risk model
Web of Science
AuthorDICKSON, DCM; WILLMOT, E
Source TitleAstin Bulletin
University of Melbourne Author/sDickson, David
Document TypeJournal Article
CitationsDICKSON, 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 StatusOpen Access
C1 - Refereed Journal Article
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.
KeywordsBanking; Finance and Investment
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