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On the Application of Laplace Transform to the Ruin Problem with Random Insurance Payments and Investments in a Risky Asset

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  • Viktor Antipov

Abstract

This paper considers the ruin problem with random premiums, whose densities have rational Laplace transforms, and investments in a risky asset whose price follows a geometric Brownian motion. The asymptotic behavior of the ruin probability for large initial capital values is investigated.

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  • Viktor Antipov, 2025. "On the Application of Laplace Transform to the Ruin Problem with Random Insurance Payments and Investments in a Risky Asset," Papers 2508.07235, arXiv.org.
    • Handle: RePEc:arx:papers:2508.07235
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    File URL: http://arxiv.org/pdf/2508.07235
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