3 papers
math.PR2025
On the Application of Laplace Transform to the Ruin Problem with Random Insurance Payments and Investments in a Risky Asset
Viktor Antipov
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 Brown…
math.PR2024
Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions
Viktor Antipov, Yuri Kabanov
The study deals with the ruin problem when an insurance company invests its reserve in a risky asset whose the price dynamics is given by a geometric Lévy process. Considering the…
math.PR2023
Ruin probabilities with investments in random environment: smoothness
Viktor Antipov, Yuri Kabanov
The paper deals with the ruin problem of an insurance company investing its capital reserve in a risky asset with the price dynamics given by a conditional geometric Brownian motio…