Modeling the Esscher Premium Principle for a System of Elliptically Distributed Risks

Tomer Shushi

2019

Abstract

The Esscher premium principle provides an important framework for allocating a certain loaded premium for some claim (risk) in order to manage the risks of insurance companies. In this paper, we show how to model the celebrated Esscher premium principle for a system of elliptically distributed dependent risks, where each risk is greater or equal than its value-at-risk. Furthermore, we present calculations of the proposed multivariate risk measure, investigate its properties and formulas, and show how special elliptical models can be implemented in the theory.

Paper Citation

in Harvard Style

Shushi T. (2019). Modeling the Esscher Premium Principle for a System of Elliptically Distributed Risks.In Proceedings of the 8th International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES, ISBN 978-989-758-352-0, pages 102-110. DOI: 10.5220/0007378101020110

in Bibtex Style

@conference{icores19,
author={Tomer Shushi},
title={Modeling the Esscher Premium Principle for a System of Elliptically Distributed Risks},
booktitle={Proceedings of the 8th International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES,},
year={2019},
pages={102-110},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0007378101020110},
isbn={978-989-758-352-0},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES,
TI - Modeling the Esscher Premium Principle for a System of Elliptically Distributed Risks
SN - 978-989-758-352-0
AU - Shushi T.
PY - 2019
SP - 102
EP - 110
DO - 10.5220/0007378101020110