The Density of the Time to Ruin in the Classical Poisson Risk Model

ASTIN Bulletin

Volumn 35, Issue 1, 2005, Pages 45-60

  Dickson, David C m ^a   Willmot, Gordon E ^b  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Compound geometric distribution; Finite time ruin; Lagrange's implicit function theorem; Laplace transform; Mixed Erlang distribution; Time to ruin; Transient M G 1 waiting time

Indexed keywords

EID: 85011519583     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.1017/S0515036100014057     Document Type: Article

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