Abstract:

We considered ruin problems for a class of discrete time risk model. In this model, the interest rates follow a Markov chain with a denumerable state space, and both the premiums and claims are assumed to have dependent AR(1) structures. Using martingale approach, we derived the upper bounds for ruin probabilities of the models, in which the premiums are received at the beginning of each period and at the end of each period, respectively. We also discussed their applications.

Key words: dependent risk, Markov chian interest rate, discrete time risk model, ruin probability