Limit behavior of the Esscher premium

DOI10.1515/ROSE-2016-0010zbMath1338.91079OpenAlexW2401946901MaRDI QIDQ289615

Mykola V. Pratsiovytyi, Vitaliy O. Drozdenko

Publication date: 30 May 2016

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2016-0010

zbMATH Keywords

limit behaviourEsscher transformEsscher premiumessential infimumessential supremum

Mathematics Subject Classification ID

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

Cites Work

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