Ruin Probability for the Risk Process with Correlated Negative Risk Sums

In this paper, we consider the risk process with correlated negative risk sums. We study how the dependence between the classes impacts on the ruin probability. We compare the results with the risk model with independent classes. We give the numerical illustration for the ruin probability when the " claims " distributions are two exponential distributions or an exponential and a Γ（2,β） distribution.