Bivariate recursive equations on excess-of-loss reinsurance

被引：1
|
作者：
Yang, Jing Ping [1 ]
Cheng, Shi Hong [1 ]
Wang, Xiao Qian [1 ]
机构：
[1] Peking Univ, Sch Math Sci, LMAM, Beijing 100871, Peoples R China
来源：
ACTA MATHEMATICA SINICA-ENGLISH SERIES | 2007年 / 23卷 / 03期
基金：
中国国家自然科学基金;
关键词：
recursive equation; R-1(a; b); family; excess-of-loss reinsurance;
D O I：
10.1007/s10114-005-0722-2
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
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页码：467 / 478
页数：12
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