Conditional value-at-risk bounds for compound Poisson risks and a normal approximation

Werner Hürlimann

Journal of Applied Mathematics, 2003, vol. 2003, 1-13

Abstract:

A considerable number of equivalent formulas defining conditional value-at-risk and expected shortfall are gathered together. Then we present a simple method to bound the conditional value-at-risk of compound Poisson loss distributions under incomplete information about its severity distribution, which is assumed to have a known finite range, mean, and variance. This important class of nonnormal loss distributions finds applications in actuarial science, where it is able to model the aggregate claims of an insurance-risk business.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:641645

DOI: 10.1155/S1110757X0320108X

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