7 citations · 31 across the 20 of their papers we have counts for
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math.PR2021
On -scale functions of spectrally negative Lévy processes
Anita Behme, David Oechsler, René L. Schilling
We obtain series expansions of the -scale functions of arbitrary spectrally negative Lévy processes, including processes with infinite jump activity, and use these to derive var…
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…