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 premiumEsscher transformessential infimumessential supremumlimit behaviour

Mathematics Subject Classification ID

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

Review text

The authors define the Esscher premium as NEWLINE\[NEWLINE\pi_{\mathrm{Esscher}(\alpha)}(X)=\frac{E[Xe^{\alpha X}]}{E[e^{\alpha X}]},NEWLINE\]NEWLINE for an arbitrary risk \(X\) with \(\alpha\geq 0\), and show the convergence from below of the Esscher premium (for an arbitrary insurance risk \(X\)) to the essential supremum of the priced risk when the premium parameter tends to \(+\infty\).NEWLINENEWLINEAs a consequence of this result, they also present convergence of the expected/averaged Esscher transform of an arbitrary random variable \(X\) to its essential infimum from above when the transformation parameter tends to \(-\infty\).

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(1)

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

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