On Finite Time Ruin Probability With Random Interest Rate In A Multi-risk Model

Ruin probability is a classical problem in the field of finance and insurance. The main research is survival probability or ruin probability when insurance company occurs large claims. In the field, Tang Qihe and Wang Yuebao are the delegates, they push the ruin probabiity to a new height.However, we find that almost literatures have been studied for only one kind of claim, that is to say they always assume that the company provides only one kind of insurance contract. In reality this assumption is not correct, and the ruin probability problem of multi-risk models is more closer to the insurance company’s actual situation. Thus, in this paper we consider the ruin probability in a multi-risk model.In this paper, assuming that there are s types of insurance contracts in an insurance company. The ith type related net losses are denoted by{Xi,Xik,k≥1}, which constitute a sequence of i.i.d. random variables, the reserve is currently invested into a risky asset which may earn negative interest rk at year k, and rk, k=1,2,···,{Xi, Xik, k≥1} and{rk, k=1,2,···} are mutually independent. We get the asymptotic of the finite-time ruin probability for the discrete-time multi-risk model with random interest rate.