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

The distribution of the time to ruin in the classical risk model
descriptionPublicationkeyboard_double_arrow_right Article 01 Nov 2002 Australia English Publisher:Cambridge University Press (CUP)Journal:ASTIN Bulletin, volume 32, pages 299-313 (issn: 0515-0361, eissn: 1783-1350, Copyright policy )
Authors: Dickson, DCM; Waters, HR;

doi: 10.2143/ast.32.2.1031

handle: 11343/33695

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

Abstract

AbstractWe 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.

Country
Australia
Related Organizations
Keywords

Applications of statistics to actuarial sciences and financial mathematics, 330, classical risk model, Risk theory, insurance, Exact distribution theory in statistics, time to ruin, time ruin probabilities

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    popularity
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    influence
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
17
Top 10%
Top 10%
Top 10%
bronze