Limit behavior of the Esscher premium
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Mykola V. Pratsiovytyi
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.
References
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© 2016 by De Gruyter
Articles in the same Issue
- Frontmatter
- Some comments on infinities on quantum field theory: A functional integral approach
- Random fixed point theorem in generalized Banach space and applications
- Exponential stability for stochastic neutral functional differential equations driven by Rosenblatt process with delay and Poisson jumps
- Numerical study of stochastic Volterra–Fredholm integral equations by using second kind Chebyshev wavelets
- Limit behavior of the Esscher premium
Articles in the same Issue
- Frontmatter
- Some comments on infinities on quantum field theory: A functional integral approach
- Random fixed point theorem in generalized Banach space and applications
- Exponential stability for stochastic neutral functional differential equations driven by Rosenblatt process with delay and Poisson jumps
- Numerical study of stochastic Volterra–Fredholm integral equations by using second kind Chebyshev wavelets
- Limit behavior of the Esscher premium
