Moments of the ruin time in a Lévy risk model

DOI10.1007/s11009-022-09967-wOpenAlexW4288802670MaRDI QIDQ2684957

Anita Behme, Philipp Lukas Strietzel

Publication date: 17 February 2023

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.05139

zbMATH Keywords

momentsLaplace transformsruin theoryexponential claimsruin timephase-type distributionsspectrally negative Lévy processCramér-Lundberg risk process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Actuarial mathematics (91G05)

Related Items (1)

On the area in the red of Lévy risk processes and related quantities

Cites Work

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