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

Werner Hürlimann

Journal of Applied Mathematics, 2003, vol. 2003, issue 3, 141-153

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
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1155/S1110757X0320108X

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2003:y:2003:i:3:p:141-153

Access Statistics for this article

More articles in Journal of Applied Mathematics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().