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| Main Author: | |
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| Format: | Preprint |
| Published: |
2026
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2601.01447 |
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| _version_ | 1866914233024774144 |
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| author | Promyslov, Platon |
| author_facet | Promyslov, Platon |
| contents | We study a ruin problem for an annuity model where a fixed fraction of capital is invested in a risky asset. Under weak assumptions on jumps, the ruin probability solves a second-order integro-differential equation and decays as a power function for large initial capital. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_01447 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | On the integro-differential equation arising in the ruin problem for annuity payment models Promyslov, Platon Probability We study a ruin problem for an annuity model where a fixed fraction of capital is invested in a risky asset. Under weak assumptions on jumps, the ruin probability solves a second-order integro-differential equation and decays as a power function for large initial capital. |
| title | On the integro-differential equation arising in the ruin problem for annuity payment models |
| topic | Probability |
| url | https://arxiv.org/abs/2601.01447 |