On the Density and Moments of the Time of Ruin with Exponential Claims

By Steve Drekic, Gordon E. Willmot. ASTIN Bulletin: The Journal of the International Actuarial Association, 2003

60 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

The Density of the Time to Ruin in the Classical Poisson Risk Model (2005, methodology): “2) of Drekic and Willmot (2003). Thus, for this individual claim amount distribution, the techniques that are presented in the next two sections are not required to obtain w(u, t).”
On the ruin time distribution for a Sparre Andersen process with exponential claim sizes (2007, background): “See, for example, [2], [8] and [9] for different solutions to this problem.”
Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models (2005, methodology): “Even then, the form of the solution entails the evaluation of Bessel functions (see, for instance, Drekic & Willmot (2003)).”