Moments of the ruin time in a L\'evy risk model
Abstract
We derive formulas for the moments of the ruin time in a L\'evy risk model and use these to determine the asymptotic behavior of the moments of the ruin time as the initial capital tends to infinity. In the special case of the perturbed Cram\'er-Lundberg model with phase-type or exponentially distributed claims, we explicitly compute the first two moments of the ruin time. All our considerations distinguish between the profitable and the unprofitable setting.
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