Abstract
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 indivdual claim amount distribution s a mixed Erlang distribution, and show how finite time ruin probabilities can be calculated in this case.
Volume
35, Issue 1
Page
45-60
Year
2005
Categories
Financial and Statistical Methods
Aggregation Methods
Collective Risk Model
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability Transforms
Financial and Statistical Methods
Loss Distributions
Severity
Actuarial Applications and Methodologies
Capital Management
Publications
ASTIN Bulletin
