Yang, Jing Ping et al., Bivariate Recursive Equations on Excess.of.loss Reinsurance, Acta mathematica Sinica. English series (Print) , 23(3), 2007, pp. 467-478
This paper investigates bivariate recursive equations on excess.of.loss reinsurance. For an insurance portfolio, under the assumptions that the individual claim severity distribution has bounded continuous density and the number of claims belongs to R 1(a, b) family, bivariate recursive equations for the joint distribution of the cedent.s aggregate claims and the reinsurer.s aggregate claims are obtained.