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20232025
most citedRuin Probabilities for a Sparre Andersen Model with Investments: the Case of Annuity Payments

6 citations

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math.PR2025★ 1 cited

Distributional equations and the ruin problem for the Sparre Andersen model with investments

Yuri Kabanov, Danil Legenkiy, Platon Promyslov

This note is an addendum to the work initiated by Eberlein, Kabanov, and Schmidt and developed further by Kabanov and Promyslov on the asymptotics of the ruin probabilities in the…

math.PR2023★ 6 cited

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

Yuri Kabanov, Platon Promyslov

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…