A Class of Ruin Probability Model with Dependent Structure

Abstract

In this paper, we study a class of ruin problems, in which premiums and claims are dependent. Under the assumption that premium income is a stochastic process, we raise the model that premiums and claims are dependent, give its numerical characteristics and the ruin probability of the individual risk model in the surplus process. In addition, we promote the number of insurance policies to a Poisson process with parameter $λ$, using martingale methods to obtain the upper bound of the ultimate ruin probability.