arXiv Open Access 2026

On the integro-differential equation arising in the ruin problem for annuity payment models

Platon Promyslov

Lihat Sumber

Abstrak

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.

Topik & Kata Kunci

math.PR

Penulis (1)

Platon Promyslov

Format Sitasi

APA MLA BibTeX

Promyslov, P. (2026). On the integro-differential equation arising in the ruin problem for annuity payment models. https://arxiv.org/abs/2601.01447

Akses Cepat

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Informasi Jurnal

Tahun Terbit: 2026
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓