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

2025/08/10 by Viktor Antipov, Antipov, Viktor
Decision Sciences · Economics, Econometrics and Finance · #Probability and Risk Models #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2508.07235

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.

Citations

• Ruin probabilities with investments in random environment: smoothness
• Ruin probabilities with investments: smoothness, IDE and ODE, asymptotic behavior

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