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.

引用

页码：467 / 478

页数：12

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