Moments of the Ruin Time in a Lévy Risk Model

Research output: Contribution to journalResearch articleContributedpeer-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.


Original languageEnglish
Pages (from-to)3075-3099
Number of pages25
JournalMethodology and Computing in Applied Probability
Issue number4
Early online date30 Jul 2022
Publication statusPublished - Dec 2022

External IDs

WOS 000833446500001
Scopus 85145429970
ORCID /0000-0002-9999-7589/work/142238031



  • Cramer-Lundberg risk process, Exponential claims, Laplace transforms, Moments, Phase-type distributions, Ruin theory, Ruin time, Spectrally negative Levy process

Library keywords