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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.