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arXiv · 2601.01447

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

Platon Promyslov
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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.

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Platon Promyslov. 2026-01-04. On the integro-differential equation arising in the ruin problem for annuity payment models. https://arxiv.org/abs/2601.01447

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