The Esscher principle is a insurance premium principle. It is given by <math>\pi[X]=E[Xe^{hX}]/E[e^{hX}]</math>, where <math>h</math> is a strictly positive parameter. This premium is in fact the net premium for a risk <math>Y=Xe^{hX}/m_X(h)</math>, where <math>m_X(h)</math> denotes the moment generating function.

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dbpprop:abstract
  • The Esscher principle is a insurance premium principle. It is given by <math>\pi[X]=E[Xe^{hX}]/E[e^{hX}]</math>, where <math>h</math> is a strictly positive parameter. This premium is in fact the net premium for a risk <math>Y=Xe^{hX}/m_X(h)</math>, where <math>m_X(h)</math> denotes the moment generating function.
rdfs:comment
  • The Esscher principle is a insurance premium principle. It is given by <math>\pi[X]=E[Xe^{hX}]/E[e^{hX}]</math>, where <math>h</math> is a strictly positive parameter. This premium is in fact the net premium for a risk <math>Y=Xe^{hX}/m_X(h)</math>, where <math>m_X(h)</math> denotes the moment generating function.
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  • Esscher principle
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