In this paper, ruin probabilities are examined in a discrete time risk model in which the interest rates follow a Markov chain with a denumerable state space and the net losses(the claim amount minus the premium income) are assumed to have a dependent AR(1) structure. An upper bound for ultimate ruin probability is obtained by martingale approach. Recursive equations for both finite time ruin probabilities and ultimate ruin probability are derived. By integrating the inductive method and the recursive equation, an upper bound is given for both finite time ruin probabilities and ultimate ruin probability.

Markov chain; interest rates; ruin probability; martingale method; autoregressive; discrete time risk model

--