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

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 individual claim amount distribution is a mixed Erlang distribution, and show how finite time ruin probabilities can be calculated in this case.
Volume
35:1
Page
45-60
Year
2005
Publications
ASTIN Bulletin
Authors
David C M Dickson
Gordon E Willmot