Moments of the Ruin Time in a Lévy Risk Model
نویسندگان
چکیده
We derive formulas for the moments of ruin time in a L\'evy risk model and use these to determine asymptotic behavior as initial capital tends infinity. In special case perturbed Cram\'er-Lundberg with phase-type or exponentially distributed claims, we explicitly compute first two time. All our considerations distinguish between profitable unprofitable setting.
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ژورنال
عنوان ژورنال: Methodology and Computing in Applied Probability
سال: 2022
ISSN: ['1387-5841', '1573-7713']
DOI: https://doi.org/10.1007/s11009-022-09967-w