Modeling the esscher premium principle for a system of elliptically distributed risks

Tomer Shushi

doi:10.5220/0007378101020110

Modeling the esscher premium principle for a system of elliptically distributed risks

Tomer Shushi

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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.

Original language	English
Title of host publication	ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems
Editors	Greg H. Parlier, Federico Liberatore, Marc Demange, Greg H. Parlier
Publisher	SciTePress
Pages	102-110
Number of pages	9
ISBN (Electronic)	9789897583520
ISBN (Print)	9789897583520
DOIs	https://doi.org/10.5220/0007378101020110
State	Published - 2019
Externally published	Yes
Event	8th International Conference on Operations Research and Enterprise Systems, ICORES 2019 - Prague, Czech Republic Duration: 19 Feb 2019 → 21 Feb 2019

Publication series

Name	ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems

Conference

Conference	8th International Conference on Operations Research and Enterprise Systems, ICORES 2019
Country/Territory	Czech Republic
City	Prague
Period	19/02/19 → 21/02/19

Bibliographical note

Publisher Copyright:
Copyright © 2019 by SCITEPRESS - Science and Technology Publications, Lda. All rights reserved.

Keywords

Esscher premium
Extreme risks
Multivariate risk measures
Premium principles
Tail value at risk
Value-at-risk

ASJC Scopus subject areas

Management Science and Operations Research
Computational Theory and Mathematics
Computer Science Applications
Control and Systems Engineering
Computer Science (miscellaneous)
Control and Optimization
Theoretical Computer Science

Access to Document

10.5220/0007378101020110

Cite this

Shushi, T. (2019). Modeling the esscher premium principle for a system of elliptically distributed risks. In G. H. Parlier, F. Liberatore, M. Demange, & G. H. Parlier (Eds.), ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems (pp. 102-110). (ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems). SciTePress. https://doi.org/10.5220/0007378101020110

Shushi, Tomer. / Modeling the esscher premium principle for a system of elliptically distributed risks. ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems. editor / Greg H. Parlier ; Federico Liberatore ; Marc Demange ; Greg H. Parlier. SciTePress, 2019. pp. 102-110 (ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems).

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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",

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language = "English",

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series = "ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems",

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Shushi, T 2019, Modeling the esscher premium principle for a system of elliptically distributed risks. in GH Parlier, F Liberatore, M Demange & GH Parlier (eds), ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems. ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems, SciTePress, pp. 102-110, 8th International Conference on Operations Research and Enterprise Systems, ICORES 2019, Prague, Czech Republic, 19/02/19. https://doi.org/10.5220/0007378101020110

Modeling the esscher premium principle for a system of elliptically distributed risks. / Shushi, Tomer.
ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems. ed. / Greg H. Parlier; Federico Liberatore; Marc Demange; Greg H. Parlier. SciTePress, 2019. p. 102-110 (ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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Shushi T. Modeling the esscher premium principle for a system of elliptically distributed risks. In Parlier GH, Liberatore F, Demange M, Parlier GH, editors, ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems. SciTePress. 2019. p. 102-110. (ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems). doi: 10.5220/0007378101020110

Modeling the esscher premium principle for a system of elliptically distributed risks

Abstract

Publication series

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Bibliographical note

Keywords

ASJC Scopus subject areas

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