On the integro-differential equation arising in the ruin problem for annuity payment models
Abstract
We study a ruin problem for an annuity model where a fixed fraction of capital is invested in a risky asset. Under weak assumptions on jumps, the ruin probability solves a second-order integro-differential equation and decays as a power function for large initial capital.
Fields of Study & Subjects
Probability and Risk Models
Insurance
Mortality
Demography
Risk Management
Stochastic processes and financial applications
Publication details
- Journal / source
- arXiv (Cornell University)
- Publication date
- 4 January 2026
- Document type
- Preprint