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.%考虑一类离散时间风险模型的破产问题.模型中假设保费过程和理赔过程都具有一阶自回归结构(AR(1)),并且利率过程是取值于可数状态空间的齐次Markov链.针对保费在期初收取和期末收取两种不同的情况,用鞅方法得到了其各自破产概率的上界.
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