Baumol–Tobin model
The Esscher principle is a insurance premium principle. It is given by , where is a strictly positive parameter. This premium is in fact 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 Esscher transform. This risk measure doesn't respect the positive homogeneity propertie of Coherent risk measure for .