Conditional value-at-risk bounds for compound Poisson risks and a normal approximation (Q1864548)
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scientific article; zbMATH DE number 1884085
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| English | Conditional value-at-risk bounds for compound Poisson risks and a normal approximation |
scientific article; zbMATH DE number 1884085 |
Statements
Conditional value-at-risk bounds for compound Poisson risks and a normal approximation (English)
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18 March 2003
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Summary: 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 known finite range, mean, and variance. This important class of non-normal loss distributions finds applications in actuarial science, where it is able to model the aggregate claims of an insurance-risk business.
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stop-loss order-preserving property
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CVaR bounds
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insurance economic-risk capital
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0.9206492
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0.8999928
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0.8985415
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0.8926304
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0.89034617
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0.88388646
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0.88384587
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