|previous article in this issue||next article in this issue|
Document Details :
Title: The Density of the Time to Ruin in the Classical Poisson Risk Model
Author(s): DICKSON, D.C.M. , WILLMOT, G.E.
Journal: ASTIN Bulletin
Volume: 35 Issue: 1 Date: May 2005
We derive an expression for the density of the time to ruin in the classical risk model by inverting its Laplace transform. We then apply the result when the indivdual claim amount distribution s a mixed Erlang distribution, and show how finite time ruin probabilities can be calculated in this case.