The density of the time to ruin in the classical Poisson risk model
DCM Dickson, GE Willmot - ASTIN Bulletin: The Journal of the IAA, 2005 - cambridge.org
ASTIN Bulletin: The Journal of the IAA, 2005•cambridge.org
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.
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.
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.
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