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

David C. M. Dickson · Howard R. Waters

33 citations0/0 files storedAstin Bulletin

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Probability and Risk Models Probability and Statistical Research Insurance, Mortality, Demography, Risk Management

Abstract

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 33 citations exist upstream.

References

1999Loss Models: From Data to Decisions 1979An introduction to mathematical risk theory 1998On the Time Value of Ruin 2000The moments of the time of ruin, the surplus before ruin, and the deficit at ruin 1999Analysis of a defective renewal equation arising in ruin theory 1991Risk Theory with the Gamma Process 1981An Introduction to Mathematical Risk Theory. By Hans U. Gerber [S. S. Huebner Foundation, R. D. Irwin Inc. Homeward Illinois, 1979]1991Recursive Calculation of Survival Probabilities

Cited by

2005The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.