Abstract
De Vylder (1978) proposed a method of approximating the probability of ultimate ruin in the classical risk model. In this paper we show that his ideas can be extended to approximate the moments and distribution of the time to ruin.
Volume
Vol. 10, Issue 4
Page
709-726
Year
2004
Categories
Financial and Statistical Methods
Aggregation Methods
Collective Risk Model
Financial and Statistical Methods
Loss Distributions
Extreme Values
Actuarial Applications and Methodologies
Regulation and Law
Insurance Company Financial Condition
Publications
Australian Actuarial Journal
