On moments of downward passage times for spectrally negative Lévy processes
DOI10.1017/JPR.2022.70zbMath1516.60028arXiv2106.00401OpenAlexW4309335788MaRDI QIDQ6159622
Philipp Lukas Strietzel, Anita Behme
Publication date: 8 May 2023
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2106.00401
momentssubordinatorfractional calculusexit timeruin theorytime to ruinfluctuation theoryfirst hitting timespectrally negative Lévy processCramér-Lundberg risk processconjugate subordinator
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Actuarial mathematics (91G05)
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