The Ruin Probability Of Continuous-Time Compound Binomial Model Perturbed By Diffusion

In this paper,we mainly studied the ruin probability of continuous-time compound binomial model perturbed by diffusion by virtue of Martingale technique.Distinguished from the continuous-time compound binomial model, the continuous-time model studied in this paper is another continuous version of compound binomial model in discrete time.Inspired by Gerber's compound Poisson model purturbed by diffusion, we add an independent Browian motion to it to set up the continuous-time compound binomial model perturbed by diffusion.We mainly study the ruin probability of this model.We give the extended generator of {(X(t),t)} which is made up of the surplus process X(t)and the time t, and an exponential martingale is gotten by it.The theory of change of measures is developed for this model.We derive the general expressions for the eventual ruin probability and the finite-horizon ruin probability and corresponding Lundberg's bounds of them.