Английская Википедия:Esscher principle

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The Esscher principle is an insurance premium principle. It is given by <math>\pi[X,h]=E[Xe^{hX}]/E[e^{hX}]</math>, where <math>h</math> is a strictly positive parameter. This premium is 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.

The Esscher principle is a risk measure used in actuarial sciences that derives from the Esscher transform. This risk measure does not respect the positive homogeneity property of coherent risk measure for <math>h>0</math>.

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