RUIN PROBABILITIES IN GENERALIZED RISK PROCESSES UNDER INTEREST FORCE WITH SEQUENCES MARKOV DEPENDENCE RANDOM VARIABLES

Abstract

This paper we study the general model of insurance with the effect of interest rates. There are three approaches to studying the probability of ruin: using the method of estimation, the method of Monte-Carlo simulation,  using the method of exact formula.The aim of this paper to built an exact formula for ruin probabilities for generalized risk processes under interest force with sequences markov depedence random variables and these sequence are usually assumed to be integer – valued random variables. Exact formula for ruin probabilities are derived by using technique of classical probability.