Properties of the Esscher premium calculation principle

DOI10.1016/0167-6687(89)90001-2zbMath0686.62090OpenAlexW2112631924MaRDI QIDQ1262678

A. E. van Heerwaarden, Rob Kaas, Marc J. Goovaerts

Publication date: 1989

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(89)90001-2

zbMATH Keywords

probability of ruinEsscher premium calculation principleorder inducing propertiesOrder preserving

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (13)

Exact credibility reference Bayesian premiums ⋮ The tradeoff insurance premium as a two-sided generalisation of the distortion premium ⋮ Skew-elliptical distributions with applications in risk theory ⋮ The credibility premiums based on estimated moment-generating function ⋮ Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure ⋮ ORDERING PROPERTIES OF EXTREME CLAIM AMOUNTS FROM HETEROGENEOUS PORTFOLIOS ⋮ Weighted premium calculation principles ⋮ An extension of Arrow's result on optimality of a stop loss contract ⋮ A comonotonic image of independence for additive risk measures ⋮ LINEAR VERSUS NONLINEAR ALLOCATION RULES IN RISK SHARING UNDER FINANCIAL FAIRNESS ⋮ Minimizing the probability of ruin: optimal per-loss reinsurance ⋮ On a class of premium principles including the Esscher principle ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation

Cites Work

• Optimal reinsurance in relation to ordering of risks
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