People often say exchange are risky because one does not have access to his private keys and other secrets stuff.
My Question is why are this keys safe? What if the wallet I have my Bitcoin in dissappears or goes out of business what will I do with the keys??
You are on the right track bro!
Exchanges (even trusted ones) have risks. When you do trades to buy bitcoin you should IMMEDIATELY transfer your bought coins to a wallet that you have exclusive control over. That means you and you alone have the private keys. If you leave them on the exchange you are just trusting a stranger with your money. As you mention, they could go out of business or get hacked.
In bitcoin there is only you and your money. The only security is the security YOU are doing. So make copies and hide your private keys. Trust no one.