Moments of the Ruin Time in a Lévy Risk Model

Philipp Lukas Strietzel () and Anita Behme ()
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Philipp Lukas Strietzel: Technische Universität Dresden
Anita Behme: Technische Universität Dresden

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 4, 3075-3099

Abstract: Abstract We derive formulas for the moments of the ruin time in a Lévy risk model and use these to determine the asymptotic behavior of the moments of the ruin time as the initial capital tends to infinity. In the special case of the perturbed Cramér-Lundberg model with phase-type or even exponentially distributed claims, we explicitly compute the first two moments of the ruin time. All our considerations distinguish between the profitable and the unprofitable setting.

Keywords: Cramér-Lundberg risk process; Exponential claims; Laplace transforms; Moments; Phase-type distributions; Ruin theory; Ruin time; Spectrally negative Lévy process; 60G51; 60G40; 91G05 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11009-022-09967-w

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