5 citations · 6 across the 4 of their papers we have counts for
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math.PR2021★ 5 cited
Moments of the ruin time in a Lévy risk model
Philipp Lukas Strietzel, Anita Behme
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 t…
math.PR2021
On moments of downward passage times for spectrally negative Lévy processes
Anita Behme, Philipp Lukas Strietzel
The existence of moments of first downward passage times of a spectrally negative Lévy process is governed by the general dynamics of the Lévy process, i.e. whether the Lévy proces…