Investigates ruin probability influenced by random payments and risky asset investments, highlighting implications for financial stability.
We consider 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 also studied.
No takes yet. Share an insight, caveat, or question.
V. A. Antipov (2026) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: