Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2508.07235 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866911100629417984 |
|---|---|
| author | Antipov, Viktor |
| author_facet | Antipov, Viktor |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_07235 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | On the Application of Laplace Transform to the Ruin Problem with Random Insurance Payments and Investments in a Risky Asset Antipov, Viktor Probability Mathematical Finance 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. |
| title | On the Application of Laplace Transform to the Ruin Problem with Random Insurance Payments and Investments in a Risky Asset |
| topic | Probability Mathematical Finance |
| url | https://arxiv.org/abs/2508.07235 |