Bivariate recursive equations on excess-of-loss reinsurance (Q884920)

The paper deals with bivariate recursive equations on excess-of-loss reinsurance. Under the hypotheses that (i) the individual claim severity distribution has a bounded continuous density and (ii) the number of claims belongs to the \(R_1(a,b)\) family, the authors obtain bivariate recursive equations for the joint distribution of the cedent's aggregate claims and the reinsurer's aggregate claims. If \(S_R\) denotes the total amount of the reinsurer's payments and \(S_C\) the total payment of the cedent, \((S_R, S_C)\) is the shared portions of the total aggregate claims between the insurer and the cedent. In particular a representation theorem on the joint distribution of \((S_R,S_C)\) is obtained without the hypotheses (i), (ii). Moreover the main results on bivariate recursive equations for the distribution of \((S_R,S_C)\) are provided, taking into account the hypotheses (i), (ii), and comparisons between such results and the corresponding ones due to other authors are made. Finally recursive equations for an exponential severity distribution are obtained.