The Exponential Premium Calculation Principle Revisited

Michel Denuit

ASTIN Bulletin, 1999, vol. 29, issue 2, 215-226

Abstract: In this paper, it is shown how to approximate theoretical premium calculation principles in order to make them useful in practice. The method relies on stochastic extrema in moment spaces and is illustrated with the aid of the exponential principle.

Date: 1999
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