The Density of the Time to Ruin in the Classical Poisson Risk Model
Copyright policy )The Density of the Time to Ruin in the Classical Poisson Risk Model
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 individual claim amount distribution is a mixed Erlang distribution, and show how finite time ruin probabilities can be calculated in this case.
- University of Waterloo Canada
- University of Melbourne Australia
Applications of statistics to actuarial sciences and financial mathematics, 330, compound geometric distribution, Risk theory, insurance, Finance and Investment, finite time ruin, Exact distribution theory in statistics, mixed Erlang distribution, Lagrange's implicit function theorem, Banking, transient M/G/1 waiting time
Applications of statistics to actuarial sciences and financial mathematics, 330, compound geometric distribution, Risk theory, insurance, Finance and Investment, finite time ruin, Exact distribution theory in statistics, mixed Erlang distribution, Lagrange's implicit function theorem, Banking, transient M/G/1 waiting time
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