Limit behavior of the Esscher premium

DOI10.1515/ROSE-2016-0010MaRDI QIDQ289615zbMATH OpenOpenAlexFDO

Authors Mykola Pratsiovytyi, Vitaliy 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

Esscher transformEsscher premiumessential infimumessential supremumlimit behaviour

Mathematics Subject Classification ID

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

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Cited in

(1)

• Rates of convergence to central limit theorems via Esscher transformed Berry-Esseen bounds

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