Abstract:

A dependence risk model is considered, where the claim may produce a repremium with probability ρ, i.e. the repremium process is the ρ-thinning process of the claim process. The capital interest rate, inflatable rate and diffusion are also investigated. Then by the method of martingle analysis, the estimation of upper bond and general formula of the the ultimate ruin probability in this new model are got. In addition adjustment coefficient equation is established and the upper bond and lower bond of the adjustment coefficients are estimated.

Key words:  ruin probabilties; adjuist coefficent; thinning process; martingle; diffusion