Actuarial science

Esscher principle

The Esscher principle is an . It is given by , where is a strictly positive parameter. This premium is the 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 . (Wikipedia).

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Related pages

Esscher transform | Risk measure | Coherent risk measure