We study the asymptotic of the ruin probability for a process which is the solution of linear SDE defined by a pair of independent Levy 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 β > 0 be the root of the cumulant-generating function H of the increment of the log price process V1. We show that the ruin probability admits the exact asymptotic Cu−β as the initial capital u → ∞ assuming only that the law of VT is non-arithmetic without any further assumptions on the price process.