Bivariate Recursive Equations on Excess-of-loss Reinsurance  

作　　者：Jing Ping YANG Shi Hong CHENG Xiao Qian WANG 

机构地区：[1]LMAM, School of Mathematical Sciences, Peking University, Beijing 100871, P. R. China

出　　处：《Acta Mathematica Sinica,English Series》2007年第3期467-478,共12页数学学报（英文版）

基　　金：the National Natural Science Foundation of China(19831020,10471008)

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.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.

关 键 词：recursive equation R1 （a b） family excess-of-loss reinsurance 

分 类 号：F840[经济管理—保险] F224.7