The Esscher Premium Principle: A Criticism. Comment.

Content Provider	Scilit
Author	Gerber, Hans U.
Copyright Year	1981
Description	Zehnwirth (1981) contains some flaws. If is the Esscher premium for a risk X, the loading is H(X) — E(X) and not h as Zehnwirth states. The first and third formulas on page 78 are wrong, since o(h) is a quantity such that A correct statement would have been that or simply that H(X) is a continuous function of the parameter h. However, this continuity is not uniform in all risks, which is illustrated by (3). No matter how small h is, there is always an X such that the difference between H(X) and E(X) is substantial. In view of this what is the meaning of a statement like “… the Esscher premium is a small perturbation of the linearized credibility premium”?
Related Links	https://www.cambridge.org/core/services/aop-cambridge-core/content/view/CA6B67F264FD91712EE4AA7CD9821E8E/S0515036100007078a.pdf/div-class-title-the-esscher-premium-principle-a-criticism-comment-div.pdf
Ending Page	140
Page Count	2
Starting Page	139
ISSN	05150361
e-ISSN	17831350
DOI	10.1017/s0515036100007078
Journal	ASTIN Bulletin
Issue Number	2
Volume Number	12
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	1981-12-01
Access Restriction	Open
Subject Keyword	ASTIN Bulletin History and Philosophy of Science
Content Type	Text
Subject	Finance Accounting Economics and Econometrics