Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments (Q6074006)

The paper develops some results already established in literature, which involve the asymptotics of the ruin probability in a Sparre Andersen non-life insurance model with investments into a risky asset, with price described by a geometric Lévy process. In particular, the results obtained in a previous paper [\textit{E. Eberlein} et al., Stochastic Processes Appl. 144, 72--84 (2022; Zbl 1480.60117)] are extended to the case of annuities and models with two-sided jumps. After describing the main characteristics of the model, the paper is structured according to a methodological approach where a scalar continuous-time semi-Markov process is integrated into a two-dimensional Markov process by adding a component measuring the time after the last arrival.