Ruin Probability For Correlated Risk Process That Is Perturbed By Diffusion

Ruin theory of the Risk Process with Correlated Risk Sums is an important topic in theory of risk models. In this paper, we introduce a correlated risk process that is perturbed by diffusion with common shock, we study how the dependence between the classes impacts on the ruin probability, we do this mainly by comparing the influences of the dependence on the sizes of the Lundberg exponents of the risk processes. In the first part of this paper, we give the model and its background. In the second part of this paper, we study the dependence between the two classes impacts on the ruin probability, and we give the numerical illustration for the ruin probability when the"claims"distribution are two exponential distributions. In the third part of this paper, we popularize the model.