Stability of the exit time for Lévy processes

Abstract

This paper is concerned with the behaviour of a Lévy process when it crosses over a positive level, u, starting from 0, both as u becomes large and as u becomes small. Our main focus is on the time, τ u , it takes the process to transit above the level, and in particular, on the stability of this passage time; thus, essentially, whether or not τ u behaves linearly as u ↓ 0 or u → ∞. We also consider the conditional stability of τ u when the process drifts to −∞ almost surely. This provides information relevant to quantities associated with the ruin of an insurance risk process, which we analyse under a Cramér condition.