Journal ArticleOPEN ACCESS

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

  • Dickson D
  • Waters H
ASTIN Bulletin (2002) 32(2) 299-313
DOI: 10.2143/ast.32.2.1031
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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.

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Dickson, D. C. M., & Waters, H. R. (2002). The Distribution of the time to Ruin in the Classical Risk Model. ASTIN Bulletin, 32(2), 299–313. https://doi.org/10.2143/ast.32.2.1031

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