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Title: Properties of the Esscher premium calculation principle
Authors: Van Heerwaarden, AE ×
Kaas, Robert
Goovaerts, Marc #
Issue Date: 1989
Series Title: Insurance: Mathematics & Economics vol:8 issue:4 pages:261-267
Abstract: The Esscher premium calculation principle was introduced by Buhlmann (1980) as a special case of an economic premium principle. He derived the Esscher premium as a Pareto-optimal solution to a market situation with risk exchanges, where all risks are stochastically independent and all agents use an exponential utility function. Order preserving and order inducing properties of the Esscher premium calculation principle are investigated. It is found that the Esscher principle does not preserve some desirable risk orderings, such as the stop-loss order. There is, however, a partial ordering the Esscher principle does preserve. Furthermore, the Esscher principle generates ordered adjustment coefficients; however, it does not generate ordered probabilities of ruin
ISSN: 0167-6687
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Insurance, Leuven
× corresponding author
# (joint) last author

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