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

Viktor Antipov

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arXiv · 2508.07235

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

Viktor Antipov

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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. 2025-08-10. On the Application of Laplace Transform to the Ruin Problem with Random Insurance Payments and Investments in a Risky Asset. https://arxiv.org/abs/2508.07235

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