Ruin probability in risk model with two-types of risk by diffusion

Classical ruin theory assumes that the surplus in an insurance company has stationary and independent increments.However,because of the increasing complexity of insurance and reinsurance products,the classical ruin theory has some limitation in perfect describing the practical process.As the development of research,a more realistic ruin model has been constructed by generalizing the classical ruin theory.In this paper,we assume that the arriving processes of claims and insurance policy are both Poisson process,and that the insurance premiums and all claims are random time-series.Considering the investment yield of insurance company and inflation rate,this article discusses the general equation of ruin probability in risk model with two-types of risk by diffusion,and concludes the same ruin probability and the Lundberg upper bound as those in the classical risk model.