Journal article

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

DCM Dickson, HR Waters

ASTIN Bulletin | Published : 2002

Abstract

AbstractWe 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.

University of Melbourne Researchers