On a class of premium principles including the Esscher principle

Udo Kamps

Scandinavian Actuarial Journal, 1998, vol. 1998, issue 1, 75-80

Abstract: A class of premium calculation principles is considered with the premiums obtained as expected values of suitably transformed distribution functions. The Esscher principle is a particular example. It is found that the likelihood ratio ordering of risks is preserved for any of these principles. A renewal theoretic interpretation of a special principle is given, and useful properties as well as a related characterization of the exponential distribution are shown.

Date: 1998
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DOI: 10.1080/03461238.1998.10413993

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