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Bivariate Recursive Equations on Excess–of–loss Reinsurance

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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.

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Authors and Affiliations

  1. LMAM, School of Mathematical Sciences, Peking University, Beijing 100871, P. R. China

    Jing Ping Yang, Shi Hong Cheng & Xiao Qian Wang

Authors
  1. Jing Ping Yang
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  2. Shi Hong Cheng
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  3. Xiao Qian Wang
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Corresponding author

Correspondence to Jing Ping Yang.

Additional information

Supported by the National Natural Science Foundation of China (19831020, 10471008)

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Yang, J.P., Cheng, S.H. & Wang, X.Q. Bivariate Recursive Equations on Excess–of–loss Reinsurance. Acta Math Sinica 23, 467–478 (2007). https://doi.org/10.1007/s10114-005-0722-2

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  • DOI: https://doi.org/10.1007/s10114-005-0722-2

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