Esscher principle

From Wikipedia, the free encyclopedia
Jump to: navigation, search

The Esscher principle is a insurance premium principle. It is given by π[X] = E[XehX] / E[ehX], where h is a strictly positive parameter. This premium is in fact the net premium for a risk Y = XehX / mX(h), where mX(h) denotes the moment generating function.

Personal tools
Namespaces
Variants
Actions
Navigation
Interaction
Toolbox
Print/export
Languages