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It is supposed that the surplus evolves over time according to a model dual to the classical Cram\u00e9r-Lundberg model, where the surplus is given by the sum of a decreasing deterministic linear function modelling total pension payments and a compound Poisson process with positive jumps modelling the income received by the company due to transferring policyholders' property. The authors find that when the jump sizes follow an exponential distribution and the risk-free investments are considered, the survival probability as a function of the initial surplus is a solution to a singular boundary value problem for an integro-differential equation with a non-Volterra integral operator. They derive the solution to the problem and study its analytical properties. The authors provide examples to compare the impacts of risk-free and risky investments on the survival probability under the pension insurance model. Section 1 presents the model and formulates the problem. In Section 2, the authors consider a model with risky investment strategies and an exponential jump size distribution. Section 3 describes some results in [the authors, Comput. Math. Math. Phys. 59, No. 11, 1904--1927 (2019; Zbl 1443.91251); translation from Zh. Vychisl. Mat. Mat. Fiz. 59, No. 11, 1973--1997 (2019)] which are used in the developments of the later parts of the paper. Specifically, Theorem 2 gives the survival probability as a solution to the singular boundary value problem for a second-order integro-differential equation, and Lemma 5 shows the equivalence between the boundary problems for the second-order integro-differential equation and a third-order ordinary differential equation. In Section 3, some main results about the survival probability as a solution to the singular probability for an integro-differential equation are presented in Theorem 5. The numerical results for comparing survival probabilities from models with risk-free and risky investments are provided in Section 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