The ruin problem for Lévy-driven linear stochastic equations with applications to actuarial models with negative risk sums

Abstract: We study the asymptotic of the ruin probability for a process which is the solution of linear SDE defined by a pair of independent L\'evy processes. Our main interest is the model describing the evolution of the capital reserve of an insurance company selling annuities and investing in a risky asset. Let $\beta>0$ be the root of the cumulant-generating function $H$ of the increment of the log price process $V$. We show that the ruin probability admits the exact asymptotic $Cu^{-\beta}$ as the initial capital $u\to\infty$ assuming only that the law of $V_T$ is non-arithmetic without any further assumptions on the price process.