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
Publisher	Science and Technology Publications, Lda
Pages	102-110
Number of pages	9
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	International Conference on Operations Research and Enterprise Systems
ISSN (Electronic)	2184-4372

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:
© 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

Computer Science (miscellaneous)
Management Science and Operations Research
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 (Eds.), ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems (pp. 102-110). (International Conference on Operations Research and Enterprise Systems). Science and Technology Publications, Lda. 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. Science and Technology Publications, Lda, 2019. pp. 102-110 (International Conference on Operations Research and Enterprise Systems).

@inproceedings{03fadeb951c341258e332ea3cb113a41,

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: {\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",

doi = "10.5220/0007378101020110",

language = "English",

isbn = "9789897583520",

series = "International Conference on Operations Research and Enterprise Systems",

publisher = "Science and Technology Publications, Lda",

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",

address = "Portugal",

}

Shushi, T 2019, Modeling the Esscher Premium Principle for a System of Elliptically Distributed Risks. in GH Parlier, F Liberatore & M Demange (eds), ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems. International Conference on Operations Research and Enterprise Systems, Science and Technology Publications, Lda, 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. Science and Technology Publications, Lda, 2019. p. 102-110 (International Conference on Operations Research and Enterprise Systems).

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

TY - GEN

T1 - Modeling the Esscher Premium Principle for a System of Elliptically Distributed Risks

AU - Shushi, Tomer

PY - 2019

Y1 - 2019

N2 - 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.

AB - 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.

KW - Esscher Premium

KW - Extreme Risks

KW - Multivariate Risk Measures

KW - Premium Principles

KW - Tail Value at Risk

KW - Value-at-Risk

UR - https://www.scopus.com/pages/publications/85173922261

U2 - 10.5220/0007378101020110

DO - 10.5220/0007378101020110

M3 - Conference contribution

AN - SCOPUS:85173922261

SN - 9789897583520

T3 - International Conference on Operations Research and Enterprise Systems

SP - 102

EP - 110

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

A2 - Parlier, Greg H.

A2 - Liberatore, Federico

A2 - Demange, Marc

PB - Science and Technology Publications, Lda

T2 - 8th International Conference on Operations Research and Enterprise Systems , ICORES 2019

Y2 - 19 February 2019 through 21 February 2019

ER -

Shushi T. Modeling the Esscher Premium Principle for a System of Elliptically Distributed Risks. In Parlier GH, Liberatore F, Demange M, editors, ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems. Science and Technology Publications, Lda. 2019. p. 102-110. (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

Conference

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this