Properties of the Esscher premium calculation principle

DOI10.1016/0167-6687(89)90001-2MaRDI QIDQ1262678zbMATH OpenOpenAlexFDO

Authors A. E. van Heerwaarden, Rob Kaas, Marc J. Goovaerts

Publication date 1989

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6687(89)90001-2

zbMATH Keywords

probability of ruinEsscher premium calculation principleorder inducing propertiesOrder preserving

Mathematics Subject Classification ID

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

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Cites work

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• Optimal reinsurance in relation to ordering of risks

Cited in

(23)

• Ordering properties of extreme claim amounts from heterogeneous portfolios
• Nuova dimostrazione di un teorema su un principio di calcolo del premio
• Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
• A note on weighted premium calculation principles
• On a general class of functionals: statistical inference and application to risk measures
• The credibility premiums based on estimated moment-generating function
• Linear versus nonlinear allocation rules in risk sharing under financial fairness
• A comonotonic image of independence for additive risk measures
• An extension of Arrow's result on optimality of a stop loss contract
• Limit behavior of the Esscher premium
• Experience rating of risk premium for Esscher premium principle
• Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure
• Exact credibility reference Bayesian premiums
• On a class of premium principles including the Esscher principle
• The tradeoff insurance premium as a two-sided generalisation of the distortion premium
• scientific article; zbMATH DE number 2168889 (Why is no real title available?)
• Weighted premium calculation principles
• Properties of premium calculation principles
• scientific article; zbMATH DE number 3996959 (Why is no real title available?)
• Skew-elliptical distributions with applications in risk theory
• scientific article; zbMATH DE number 4113818 (Why is no real title available?)
• Minimizing the probability of ruin: optimal per-loss reinsurance
• Asymptotics of the loss-based tail risk measures in the presence of extreme risks

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