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Author: Tomer Shushi

Affiliation: Department of Business Administration, Guilford Glazer Faculty of Business and Management, Ben-Gurion University of the Negev, Beer-Sheva and Israel

ISBN: 978-989-758-352-0

ISSN: 2184-4372

Keyword(s): Esscher Premium, Extreme Risks, Multivariate Risk Measures, Premium Principles, Tail Value at Risk, Value-at-Risk.

Related Ontology Subjects/Areas/Topics: Forecasting ; Management Sciences ; Methodologies and Technologies ; Operational Research

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.

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Paper citation in several formats:
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, ISSN 2184-4372, pages 102-110. DOI: 10.5220/0007378101020110

@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},
}

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

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