Moments of the Ruin Time in a Lévy Risk Model
Research output: Contribution to journal › Research article › Contributed › peer-review
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.
|Number of pages||25|
|Journal||Methodology and Computing in Applied Probability|
|Early online date||30 Jul 2022|
|Publication status||Published - Dec 2022|
- Cramer-Lundberg risk process, Exponential claims, Laplace transforms, Moments, Phase-type distributions, Ruin theory, Ruin time, Spectrally negative Levy process