Ruin Probability With Dependent Rates Of N-order Linear Autoregressive Structure

Risk theory, as a part of insurance or actuarial mathematics, deals with stochastic models of an insurance business and the ruin probability. Discrete risk model is a part of it. Because of many causes in real life, classic discrete risk model is accordingly generalized. One important factor is the effect of timing of payments and interest on the ruin probabilities ties in the models.The text discusses the influence of rate of interests which are assumed to have a dependent autoregressive structure of order n to the ruin probability. Two generalized models are given, and we get the integral equation and the inequalities of ruin probability .