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- Title
Limit behavior of the Esscher premium.
- Authors
Pratsiovytyi, Mykola V.; Drozdenko, Vitaliy O.
- Abstract
Convergence from below of the Esscher premium for an arbitrary insurance risk to the essential supremum of the priced risk when the premium parameter tends to plus infinity is presented in the article. As a corollary of the above mentioned statement, we present convergence of the expected/averaged Esscher transform of an arbitrary random variable to its essential infimum from above when the transformation parameter tends to minus infinity.
- Subjects
STOCHASTIC convergence; ARBITRARY constants; ACTUARIAL risk; MATHEMATICAL transformations; INFINITY (Mathematics); RANDOM variables
- Publication
Random Operators & Stochastic Equations, 2016, Vol 24, Issue 2, p143
- ISSN
0926-6364
- Publication type
Article
- DOI
10.1515/rose-2016-0010