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Document Details : Title: The Distribution of the Time to Ruin in the Classical Risk Model Author(s): DICKSON, D.C.M. , WATERS, H.R. Journal: ASTIN Bulletin Volume: 32 Issue: 2 Date: November 2002 Pages: 299-313 DOI: 10.2143/AST.32.2.1031 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. |