Journal article
The Distribution of the time to Ruin in the Classical Risk Model
DCM Dickson, HR Waters
Astin Bulletin | Published : 2002
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. © 2002, International Actuarial Association. All rights reserved.