On the Density and Moments of the Time of Ruin with Exponential Claims

Steve Drekic and Gordon E. Willmot

ASTIN Bulletin, 2003, vol. 33, issue 1, 11-21

Abstract: The probability density function of the time of ruin in the classical model with exponential claim sizes is obtained directly by inversion of the associated Laplace transform. This result is then used to obtain explicit closed-form expressions for the moments. The form of the density is examined for various parameter choices.

Date: 2003
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