Ruin Probability For A Correlated Risk Process Perturbed By Diffusion With Positive And Negative Risk Sums

The ruin theory is the heart of the risk theory. With the development of the insurance, a type of risk process has arisen which is different from the classical risk process, is called negative risk process. This paper considers a risk model which includes the positive and negative risk sum perturbed by diffusion. Then we study the ruin probability of this model, and give an upper bound to the Lundberg exponent R. In the end, we draw the conclusion that the ruin probability's upper bound of this model was negative correlation with the initial capital and the disturbance term. However, it is positive correlation with the average claim amount.