Abstract:

In this paper,we study the ruin probability of a risk model with two dependent compensation processes based on the generalized Polya-Aeppli distribution.Firstly,the joint probability distribution function and the precise expressions of moments for a class of dependent processes are derived by applying the probability generating function defined by Kocherlakota (1995).Then two kinds of ruin models are formulated,and the corresponding ruin probabilities are obtained by using the Laplace transformation to covert computing ruin probability to calculating probability distribution function of the cumulative claims when the claims follow the exponential distribution.The generalized Polya-Aeppli distribution defines a class of discrete distributions with correlation.It overcomes the over-dispersion problem of the actual data which cannot be modeled by Poisson process,and is easy to estimate the parameters.Thus our approach has a wide range of applicability.

Key words:

">  , Generalized Polya-Aeppli distribution, Risk model, Laplace transform, Ruin probability, Cumulative claims