变利率相依风险模型破产概率的积分方程和界

摘要

A discrete time dependent risk model was considered with stochastic interest where the interest rate process formed a sequence of independent and identically distributed random variables sequences, and both the premiums process and claims process had higher order autoregressive structures. The premi-ums were received at the beginning of each period and the claims were derived at the end of each period, integral equation upper and lower bound for infinite time ruin probabilities were derived by using recursive method.%考虑了一个带有随机利率离散时间相依风险模型，其中利率过程为独立同分布的随机变量序列，保费过程和索赔过程都具有高阶自回归结构。针对保费在期初收取和索赔在期末收取的情况，利用递归的方法，得出此模型破产概率的积分方程和上界、下界。