The Density of the Time to Ruin in the Classical Poisson Risk Model
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Publication:5490578
DOI10.2143/AST.35.1.583165zbMath1097.62113MaRDI QIDQ5490578
David C. M. Dickson, Gordon E. Willmot
Publication date: 4 October 2006
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.35.1.583165
mixed Erlang distribution; compound geometric distribution; finite time ruin; Lagrange's implicit function theorem; transient M/G/1 waiting time
62P05: Applications of statistics to actuarial sciences and financial mathematics
62E15: Exact distribution theory in statistics
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