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Esscher-transformed Laplace distribution revisited. (English) Zbl 1366.60043

Summary: We show that the family of Esscher-transformed Laplace distributions is a subclass of asymmetric Laplace laws.

MSC:

60E05 Probability distributions: general theory
60E10 Characteristic functions; other transforms
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References:

[1] Esscher, F. (1932). On the probability function in the collective theory of risk. Scandinavian Actuarial Journal 15 , 175-195. · Zbl 0004.36101
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