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Ruin Probabilities for One Class of Bivariate Risk Model with Correlated Aggregate Claims under Sparse Processes

??The paper considers a risk model with two dependent classes of
insurance business. In this model, the two claim number processes are partly sparsely
correlated through an Erlang(2) process. By introducing an auxiliary model, we obtain the
integral equations for ultimate ruin probabilities, and discuss the asymptotic property of
ruin probabilities by renewal approach. We also get the linear differential equations of
ruin probabilities of the model and the corresponding auxiliary model when claims follow
the exponential distributions, and show how solves the linear differential equations by a
specific example.