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On moments of downward passage times for spectrally negative Lévy processes

Part of: Stochastic processes

Published online by Cambridge University Press:  16 November 2022

Anita Behme Open the ORCID record for Anita Behme [Opens in a new window]  and
Philipp Lukas Strietzel Open the ORCID record for Philipp Lukas Strietzel [Opens in a new window]
Anita Behme*
Affiliation:
Technische Universität Dresden
Philipp Lukas Strietzel*
Affiliation:
Technische Universität Dresden
*
*Postal address: Technische Universität Dresden, Institut für Mathematische Stochastik, Helmholtzstraße 10, 01069 Dresden, Germany
*Postal address: Technische Universität Dresden, Institut für Mathematische Stochastik, Helmholtzstraße 10, 01069 Dresden, Germany
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Abstract

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 it is drifting to $+\infty$, $-\infty$, or oscillating. Whenever the Lévy 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 Lévy jump measure exists. This generalizes a result shown earlier by Delbaen for Cramér–Lundberg risk processes. Whenever the Lévy process drifts to $-\infty$, we prove that all moments of the first passage time exist, while for an oscillating Lévy process we derive conditions for non-existence of the moments, and in particular we show that no integer moments exist.

Keywords

Conjugate subordinatorCramér–Lundberg risk processexit timefluctuation theoryfirst hitting timefractional calculusmomentsruin theoryspectrally negative Lévy processsubordinatortime to ruin

MSC classification

Primary: 60G51: Processes with independent increments; L'evy processes 60G40: Stopping times; optimal stopping problems; gambling theory

Information

Type
Original Article
Information
Journal of Applied Probability , Volume 60 , Issue 2 , June 2023 , pp. 452 - 464
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Copyright
© The Author(s), 2022. Published by Cambridge University Press on behalf of Applied Probability Trust

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