Bivariate Recursive Equations on Excess.of.loss Reinsurance

Authors
Yang, Jing Ping Cheng, Shi Hong Wang, Xiao Qian
Citation
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
Journal title
Acta mathematica Sinica. English series (Print) → ACNP
ISSN journal
14398516
Volume
23
Issue
3
Year of publication
2007
Pages
467 - 478
Database
ACNP
SICI code
Abstract
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.