| Bivariate Recursive Equations on Excess-of-loss Reinsurance |
| |
| 作者姓名： | Jing Ping YANG Shi Hong CHENG Xiao Qian WANG |
| |
| 作者单位： | LMAM, School of Mathematical Sciences, Peking University, Beijing 100871, P. R. China |
| |
| 基金项目： | Supported by 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.
|
| 关 键 词： | 再保险方程 二元回归方程 超额损失分保 索赔烈度分布 |
| 收稿时间： | 30 March 2004 |
| 修稿时间： | 2004-03-302004-11-18 |
Bivariate Recursive Equations on Excess–of–loss Reinsurance |
| |
| Jing Ping YANG Shi Hong CHENG Xiao Qian WANG.Bivariate Recursive Equations on Excess-of-loss Reinsurance[J].Acta Mathematica Sinica,2007,23(3):467-478. |
| |
| Authors: | Jing Ping Yang Shi Hong Cheng Xiao Qian Wang |
| |
| Institution: | (1) LMAM, School of Mathematical Sciences, Peking University, Beijing 100871, P. R. China |
| |
| 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.
Supported by the National Natural Science Foundation of China (19831020, 10471008) |
| |
| Keywords: | recursive equation R 1(a b) family excess– of– loss reinsurance |
| 本文献已被 维普 SpringerLink 等数据库收录！ |
