On moments of downward passage times for spectrally negative Lévy processes

DOI10.1017/JPR.2022.70zbMATH Open1516.60028arXiv2106.00401OpenAlexW4309335788MaRDI QIDQ6159622FDOQ6159622

Philipp Lukas Strietzel, Anita Behme

Publication date: 8 May 2023

Published in: Journal of Applied Probability (Search for Journal in Brave)

Abstract: The existence of moments of first downward passage times of a spectrally negative L'evy process is governed by the general dynamics of the L'evy process, i.e. whether the L'evy process is drifting to $+infty$, $-infty$ or oscillates. Whenever the L'evy process drifts to $+infty$, we prove that the $kappa$-th moment of the first passage time (conditioned to be finite) exists if and only if the $(kappa+1)$-th moment of the L'evy jump measure exists. This generalises a result shown earlier by Delbaen for Cram'er-Lundberg risk processes cite{Delbaen1990}. Whenever the L'evy process drifts to $-infty$, we prove that all moments of the first passage time exist, while for an oscillating L'evy process we derive conditions for non-existence of the moments and in particular we show that no integer moments exist.

Full work available at URL: https://arxiv.org/abs/2106.00401

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zbMATH Keywords

momentsfirst hitting timesubordinatorfluctuation theoryfractional calculusexit timeruin theorytime to ruinspectrally negative Lévy processconjugate subordinatorCramér-Lundberg risk process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited In (6)

• Passage times for a spectrally negative Lévy process with applications to risk theory
• Occupation times of intervals until last passage times for spectrally negative Lévy processes
• General draw-down times for refracted spectrally negative Lévy processes
• The moment of the first overstepping time on spectrally positive Lévy processes
• Moments of passage times for Lévy processes
• Complete monotonicity of time-changed Lévy processes at first passage

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