Gu Peipei, Wang Guojing. Ruin Probability for Correlated Risk Process that is Perturbed by Diffusion[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(6): 585-592.
Citation: Gu Peipei, Wang Guojing. Ruin Probability for Correlated Risk Process that is Perturbed by Diffusion[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(6): 585-592.

Ruin Probability for Correlated Risk Process that is Perturbed by Diffusion

  • 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.
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