Ruin Problem Of A Class Of Risk Models

In this paper, we discuss some important results of ruin problem of the models which are the extension of the classical risk models. Firstly, in order to have an understanding of the classical risk model, we introduce it briefly; Secondly, we introduce some knowledge of Markov Skeleton Process which has been developing rapidly in recent years; Finally, with the knowledge of Markov Skeleton Process, we get some results of ruin problem of the risk models with exponential distributions, such as:the distribution of the ruin time, ruin probability, the joint distribution of the ruin time and the surplus assets prior to and at ruin.