Bivariate Recursive Equations on Excess–of–loss Reinsurance

被引：1
|
作者：
Jing Ping Yang
Shi Hong Cheng
Xiao Qian Wang
机构：
[1] Peking University,LMAM, School of Mathematical Sciences
来源：
Acta Mathematica Sinica, English Series | 2007年 / 23卷
关键词：
recursive equation; (; ) family; excess–of–loss reinsurance; 91B30; 60E99;
D O I：
暂无
中图分类号：
学科分类号：
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 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.
引用
收藏
页码：467 / 478
页数：11
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