The Distribution of the time to Ruin in the Classical Risk Model
AuthorDickson, DCM; Waters, HR
Source TitleAstin Bulletin: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association
PublisherCambridge University Press (CUP)
University of Melbourne Author/sDickson, David
AffiliationEconomics and Commerce: Centre for Actuarial Studies
Document TypeJournal Article
CitationsDickson, D. C. M. & Waters, H. R. (2002). The Distribution of the time to Ruin in the Classical Risk Model. ASTIN Bulletin, 32 (2), pp.299-313. https://doi.org/10.2143/AST.32.2.1031.
Access StatusOpen Access
ISBN 0734021887 research paper no. 95
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.
Keywordstime to ruin; classical risk model; time ruin probabilities.
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