Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments

Yuri Kabanov () and Platon Promyslov ()
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Yuri Kabanov: Lomonosov Moscow State University
Platon Promyslov: Lomonosov Moscow State University

Finance and Stochastics, 2023, vol. 27, issue 4, No 3, 887-902

Abstract: Abstract This note is a complement to the paper (Stoch. Process. Appl. 144:72–84, 2022) by Eberlein, Kabanov and Schmidt on the asymptotics of the ruin probability in a Sparre Andersen non-life insurance model with investments into a risky asset whose price follows a geometric Lévy process. Using techniques from the theory of semi-Markov processes, we extend the result of (Eberlein, Kabanov and Schmidt in Stoch. Process. Appl. 144:72–84, 2022) to the case of annuities and models with two-sided jumps.

Keywords: Ruin probabilities; Sparre Andersen model; Actuarial models with investments; Renewal processes; Annuities; Distributional equations; 60G44 (search for similar items in EconPapers)
JEL-codes: G22 G23 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s00780-023-00513-1

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