The Distribution of the time to Ruin in the Classical Risk Model

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    16
    Author
    Dickson, DCM; Waters, HR
    Date
    2002-01-01
    Source Title
    ASTIN Bulletin
    Publisher
    Cambridge University Press (CUP)
    University of Melbourne Author/s
    Dickson, David
    Affiliation
    Economics and Commerce: Centre for Actuarial Studies
    Metadata
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    Document Type
    Journal Article
    Citations
    Dickson, 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 Status
    Open Access
    URI
    http://hdl.handle.net/11343/33695
    DOI
    10.2143/AST.32.2.1031
    Description

    ISBN 0734021887 research paper no. 95
    Abstract
    <jats:title>Abstract</jats:title><jats:p>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.</jats:p>
    Keywords
    time to ruin; classical risk model; time ruin probabilities.

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