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

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

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.

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Veröffentlicht in:ASTIN Bulletin : The Journal of the IAA 2002-11, Vol.32 (2), p.299-313
Hauptverfasser: Dickson, David C.M., Waters, Howard R.
Format: Artikel
Sprache:eng
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Zusammenfassung: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.
ISSN:0515-0361
1783-1350
DOI:10.2143/AST.32.2.1031