Author:
Drekic Steve,Willmot Gordon E.
Abstract
The probability density function of the time of ruin in the classical model with exponential claim sizes is obtained directly by inversion of the associated Laplace transform. This result is then used to obtain explicit closed-form expressions for the moments. The form of the density is examined for various parameter choices.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Cited by
16 articles.
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