Ruin probabilities with dependent rates of interest

Abstract

In this paper, we study ruin probabilities in two generalized risk models. The effects of timing of payments and interest on the ruin probabilities in the models are considered. The rates of interest are assumed to have a dependent autoregressive structure. Generalized Lundberg inequalities for the ruin probabilities are derived by a renewal recursive technique. An illustrative application is given to the compound binomial risk process.