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

David C.M. Dickson and Howard R. Waters

ASTIN Bulletin, 2002, vol. 32, issue 2, 299-313

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.

Date: 2002
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