Ruin Problems for the Discrete Time Model of General Reinsurance with Dependent Rates of Interest

In this paper, we consider a discrete-time process driven by general reinsurance and an interest rate process. The rate of interest is assumed to have a dependent autoregressive structure. We obtain the recursive and integral equations for ruin probability, and the upper bound of ruin probability is given with recursive method. The results were applied to the proportional reinsurance and excess of loss treaty. To illustrate these results, some numerical examples are included.