Lee - Excess of Loss

michael j miller ( michael.j.miller.cufc@statefarm.com )
Tue, 21 Jul 1998 08:24:28 -0500

I have a question on the notation for S(1,i) formula on page 71 of Lee's
paper. To me it seems like the summation should go all the way to "k"
rather than "k-1."

With the notation in the paper then, S(1,0)=N(0)+N(1)+...+N(k-1). I'm
not sure what N(0) is, or even if I can assume it equals zero, I don't
think the sum from N(0) to N(k-1) is what is needed to be in the
denominator of the expression for r(i) on the top of page 72.

Am I missing something? Any comments would be greatly appreciated.