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arXiv · 2301.01966

Ruin Probabilities for a Sparre Andersen Model with Investments: the Case of Annuity Payments

Yuri Kabanov·Platon Promyslov
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Abstract

This note is a complement to the paper by Eberlein, Kabanov, and Schmidt on the asymptotic of the ruin probability in a Sparre Andersen non-life insurance model with investments a risky asset whose price follows a geometric L\'evy process. Using the techniques of semi-Markov processes we extend the result of the mentioned paper to the case of annuities and models with two-sided jumps.

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Yuri Kabanov, Platon Promyslov. 2023-01-05. Ruin Probabilities for a Sparre Andersen Model with Investments: the Case of Annuity Payments. https://doi.org/10.1007/s00780-023-00513-1

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