Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
Hürlimann, Werner
J. Appl. Math., Tome 2003 (2003) no. 1, p. 141-153 / Harvested from Project Euclid
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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.
Publié le : 2003-03-05
Classification:  62P05,  91B30 
@article{1049725734,
     author = {H\"urlimann, Werner},
     title = {Conditional value-at-risk bounds for compound Poisson risks and a
normal approximation},
     journal = {J. Appl. Math.},
     volume = {2003},
     number = {1},
     year = {2003},
     pages = { 141-153},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1049725734}
}

Hürlimann, Werner. Conditional value-at-risk bounds for compound Poisson risks and a
normal approximation. J. Appl. Math., Tome 2003 (2003) no. 1, pp.  141-153. http://gdmltest.u-ga.fr/item/1049725734/