Baumol–Tobin model: Difference between revisions

Revision as of 04:54, 3 October 2013

The Esscher principle is a insurance premium principle. It is given by $\pi [X,h]=E[Xe^{hX}]/E[e^{hX}]$ , where $h$ is a strictly positive parameter. This premium is in fact the net premium for a risk $Y=Xe^{hX}/m_{X}(h)$ , where $m_{X}(h)$ denotes the moment generating function.

The Esscher principle is a Risk measure used in actuarial sciences that derives from Esscher transform. This risk measure doesn't respect the positive homogeneity propertie of Coherent risk measure for $h>0$ .

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+{{mergeto|Esscher transform|discuss=Talk:Esscher transform#Merger proposal|date=January 2014}}
+The '''Esscher principle''' is a [[insurance premium principle]]. It is given by <math>\pi[X,h]=E[Xe^{hX}]/E[e^{hX}]</math>, where <math>h</math> is a strictly positive parameter. This premium is in fact the [[net premium]] for a risk <math>Y=Xe^{hX}/m_X(h)</math>, where <math>m_X(h)</math> denotes the [[moment generating function]].
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+The  '''Esscher principle''' is a [[Risk measure]] used in actuarial sciences that derives from [[Esscher transform]]. This risk measure doesn't respect the  positive homogeneity propertie of [[Coherent risk measure]] for <math>h>0</math>.
+{{bank-stub}}
+[[Category:Actuarial science]]