@inproceedings{2bc6a5596fd94f19bcdf81d080b0143b,
title = "Modeling the esscher premium principle for a system of elliptically distributed risks",
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.",
keywords = "Esscher premium, Extreme risks, Multivariate risk measures, Premium principles, Tail value at risk, Value-at-risk",
author = "Tomer Shushi",
note = "Publisher Copyright: Copyright {\textcopyright} 2019 by SCITEPRESS - Science and Technology Publications, Lda. All rights reserved.; 8th International Conference on Operations Research and Enterprise Systems, ICORES 2019 ; Conference date: 19-02-2019 Through 21-02-2019",
year = "2019",
month = jan,
day = "1",
doi = "10.5220/0007378101020110",
language = "English",
series = "ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems",
publisher = "SciTePress",
pages = "102--110",
editor = "Parlier, {Greg H.} and Federico Liberatore and Marc Demange",
booktitle = "ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems",
}