Articles

CONDITIONAL RECURSIVE EQUATIONS ON EXCESS-OF-LOSS REINSURANCE

Expand
    1. LMAM, School of Mathematical Sciences, Peking University, Beijing 100871, P. R. China;
    2. School of Mathematical and Computer Science, Nanjing Normal University, Nanjing 210046, P. R. China

Received date: 2004-09-24

  Revised date: 2006-04-26

  Online published: 2006-08-18

Abstract

The marginal recursive equations on excess-of-loss reinsurance treaty are
investignted, under the assumption that the number of claims belongs to the family consisting of Poisson, binomial and negative binomial, and that the severity distribution has bounded continuous density function. On conditional of the numbers of claims associated with the reinsurer and the cedent, some recursive equations are obtained for the marginal distributions of the total payments of the reinsurer and the cedent.

Cite this article

YANG Jing-ping;WANG Xiao-qian;CHENG Shi-hong . CONDITIONAL RECURSIVE EQUATIONS ON EXCESS-OF-LOSS REINSURANCE[J]. Applied Mathematics and Mechanics, 2006 , 27(8) : 1071 -1080 . DOI: 10.1007/s10483-006-0807-y

Outlines

/

APS Journals | CSTAM Journals | AMS Journals | EMS Journals | ASME Journals