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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.

Suggested Citation

  • 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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    References listed on IDEAS

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    1. Yuri Kabanov & Sergey Pergamenshchikov, 2022. "On ruin probabilities with investments in a risky asset with a regime-switching price," Finance and Stochastics, Springer, vol. 26(4), pages 877-897, October.
    2. Albrecher, Hansjoerg & Constantinescu, Corina & Thomann, Enrique, 2012. "Asymptotic results for renewal risk models with risky investments," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3767-3789.
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