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<p>This note is an addendum to the work initiated by Eberlein, Kabanov, and Schmidt and developed further by Kabanov and Promyslov on the asymptotics of the ruin probabilities in the Sparre Andersen model with investments in a risky asset. Using more advanced methods of the implicit renewal theory, we provide complements to some results of the mentioned works.</p>

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Distributional equations and the ruin problem for the Sparre Andersen model with investments

  • 期刊论文

  • 发表日期：

    2026年1月3日

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  • Yuri Kabanov,
  • Danil Legenkiy,
  • Platon Promyslov

摘要

This note is an addendum to the work initiated by Eberlein, Kabanov, and Schmidt and developed further by Kabanov and Promyslov on the asymptotics of the ruin probabilities in the Sparre Andersen model with investments in a risky asset. Using more advanced methods of the implicit renewal theory, we provide complements to some results of the mentioned works.