Research On A Correlated Aggregate Claims Model

In most actuarial literature related to risk theory ,the assumption of indepen-dence between classes of business in an insurance book of business is always made.In practice ,however ,there are certain correlation between classes of business be-cause common factor which cause risk exists ,thus the study of risk model withcorrelated classes of business begin . In this paper , we study two correlated riskmodel .We give the relation between these models through made comparisons.we generalize common poisson process in correlated aggregate claims model ofWang and Yuen (2005) and consider compound poisson-geometric process. Weexamine basic properties and upper bounds for the ruin probability of compoundpoisson-geometric risk model with thinning-dependence structure .We also inves-tigate the impact of the thing-dependence structure on the ruin probability.