Martingale Applied In The Ruin Probability Of The Compound Non-binominal Risk Model With Appropriation Budget

An extremely important question in risk theory is study of the ruin probability, which is the probability of insurance company's earnings being negative for the fist time. The ruin probability can provide an early alarm for decision maker of insurance companies, also is a measure of finance risk, thereby, the study of it has the extremely important guiding sense to managing of insurance companies and supervising of insurance surveillance departments. Martingale is a front theory in stochastic process, recently, it was gradually applied to various discipline. Using Martingale theory to study risk models has not only important theoretic significance but also the practical value.This article introduced the classical risk model, used Martingale theory to estimate the upper bound for the ruin probability. But in the classical risk model, the premium process is a time linear function, has not considered the influence of stochastic factors. Along with the expansion of business, the classical risk model has limitation.This paper firstly gives the classical risk model and the research technique, and has given this model related conclusion, furthermore has given two special separate risk models and their research results. Under the discrete time,we discuss a new model which is The Ruin Probability of the Compound Non-Binominal Risk Model with appropriation budget in chapter three.Using the Martingale approach we analyses the new model and obtain the ruin probability of the model.The Lundberg inequality is obtained by the discrete martingale approach. According to insurance company's operation it can prepare the insurance reserve to preventing bankruptcy. Moreover this kind of model can direct insurance company to developing new insurance.