The Ruin Problem Of A Kind Of Continuous Time Risk Model With The Deficit-Time Geometry Distribution O F Claim Inter-Occurrence Time For Insurance

In the study of risk theory, a class of continuous time risk process with deficit-time geometry distribution of claim inter-occurrence time was made into a strong piecewise-deterministic Markov process with the theory of piecewise-deterministic Markov process and by introducing a supplementary variable. Martingale approach is one of the most powerful methods of PDMP. The programming process is getting the ruin probability from the martingale construction.We use the idea of change of measure in the programming process and find the result and the function of adjustment coefficient.In Chapter 1,we briefly reviewed the Risk Theory and its development.And the significance about this paper was expressed.In Chapter 2,we introduced Classical Risk Model.In which,making this risk process into a strong Markovian process is the preparation of deriving the main results.Chapter 3 is the main body of the paper,we derived the results about general ruin probability in a kind of continuous time risk model with deficit-time geometry distribution of claim inter-occurrence time.The martingale approach is a good procedure to get the expression of ruin probability about a class of continuous time risk models with deficit-time geometry distribution of claim inter-occurrence time.we also take advantage of change of measure idea from it.