On the Application of Laplace Transform to the Ruin Problem with Random Insurance Payments and Investments in a Risky Asset

Viktor Antipov

Papers from arXiv.org

Abstract: 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 Brownian motion. The asymptotic behavior of the ruin probability for large initial capital values is investigated.

Date: 2025-08
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