Return to search

Moments of the Ruin Time in a Lévy Risk Model

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.

Identiferoai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:90409
Date08 April 2024
CreatorsStrietzel, Philipp Lukas, Behme, Anita
PublisherSpringer Science + Business Media B.V.
Source SetsHochschulschriftenserver (HSSS) der SLUB Dresden
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/publishedVersion, doc-type:article, info:eu-repo/semantics/article, doc-type:Text
Rightsinfo:eu-repo/semantics/openAccess
Relation1573-7713, 10.1007/s11009-022-09967-w

Page generated in 0.0016 seconds