RE: Lee - Excess of Loss

Lawn,Yin ( (no email) )
Tue, 21 Jul 1998 13:27:00 -0500

I think N(0) means the claim counts between layer 0 and 1, N(1) means
the claim count between layer 1 and 2, N(k-1) means the claim counts
between layer k-1 and k. Therefore, when you add N(0) + N(1)+...+N(k-1)
you got claim counts between 0 and k.

---Yin
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From: michael j miller
To: studygroup9@lists.casact.org
Subject: Lee - Excess of Loss
Date: Tuesday, July 21, 1998 8:24AM

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.