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Ruin Probabilities for the Discrete Risk Models with Markov Chain Interest
He Xiaoxia, Yao Chun, Hu Yijun
College of Science, Wuhan University of Science and Technology, School of Mathematics and Statistics, Wuhan University
In this paper, we consider a discrete
time risk process with random interest force. With the assumption
that the interest rate process behaves as a Markov chain, we obtain
the recursive equations and integral equations for finite and
ultimate ruin probabilities, and Lundberg inequalities for the
ultimate ruin probabilities are also provided.