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Esscher principle

From Wikipedia, the free encyclopedia

The Esscher principle is an insurance premium principle. It is given by , where is a strictly positive parameter. This premium is the net premium for a risk , where denotes the moment generating function.

The Esscher principle is a risk measure used in actuarial sciences that derives from the Esscher transform. This risk measure does not respect the positive homogeneity property of coherent risk measure for .

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