Esscher transform (original) (raw)
In actuarial science, the Esscher transform is a transform that takes a probability density f(x) and transforms it to a new probability density f(x; h) with a parameter h. It was introduced by F. Esscher in 1932.
In actuarial science, the Esscher transform is a transform that takes a probability density f(x) and transforms it to a new probability density f(x; h) with a parameter h. It was introduced by F. Esscher in 1932.