Ruin Problem For A Class Of Risk Processes Perturbed By Diffusion

This thesis consists of five sections, and its theme is concerned with ruin problem for a class of risk process perturbed by diffusion.In Section 1, some preliminaries of the classical risk process and the classical risk process perturbed by diffusion is sketched.As the main result of this paper, in Section 2, we give a new model of the risk process perturbed by diffusion and obtain the Lundberg inequality and the Lundberg exponent.In Section 3, we compare the size of the Lundberg exponent for different kinds of risk model.In Section 4, we consider the numerical resolution for the impact of the parameters on the ruin probability.In Section 5, we give the results that we have obtained.