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

共 9 条

[1]

[Anonymous], 1981, ASTIN B J IAA

[2]

[Anonymous], 1999, ASTIN B

[3]

[Anonymous], 1996, ASTIN BULL

[4]

KLUGMAN SA, 2001, LOSS MODELS DATA DEC

[5]

Lemaire J., 1995, Bonus-Malus systems in automobile insurance

[6]

Panjer H.H., 1981, ASTIN Bulletin, V12, P22, DOI DOI 10.1017/S0515036100006796

[7]

Panjer H.H., 1992, INSURANCE RISK MODEL

[8]

Sundt B., 1999, ASTIN BULL, V29, P29, DOI DOI 10.2143/AST.29.1.504605

[9] Recursive equations for compound distribution with the severity distribution of the mixed type [J].

Yang, JP ;

Cheng, SH ;

Wu, Q .

SCIENCE IN CHINA SERIES A-MATHEMATICS, 2005, 48 (05) :594-609

← 1 →