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Ruin Probabilities for a Sparre Andersen Model with Investments: the Case of Annuity Payments
Yuri Kabanov, Platon Promyslov · 2023-01-05 · via math.PR updates on arXiv.org

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 Lévy 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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