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

Published online by Cambridge University Press:  29 August 2014

David C.M. Dickson  and
Howard R. Waters
David C.M. Dickson
Affiliation:
Centre for Actuarial Studies, The University of Melbourne, Victoria, 3010, Australia
Howard R. Waters
Affiliation:
Department of Actuarial Mathematics & Statistics, Heriot-Watt University, Edinburgh EH14 4AS, Great Britain
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Abstract

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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.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 32 , Issue 2 , November 2002 , pp. 299 - 313
Copyright
Copyright © International Actuarial Association 2002

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