Bivariate Recursive Equations on Excess–of–loss Reinsurance

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 R1(a, b) family, bivariate recursive equations for the joint distribution of the cedent’s aggregate claims and the reinsurer’s aggregate claims are obtained.