Conditional value-at-risk bounds for compound Poisson risks and a normal approximation (Q1864548)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Conditional value-at-risk bounds for compound Poisson risks and a normal approximation |
scientific article |
Statements
Conditional value-at-risk bounds for compound Poisson risks and a normal approximation (English)
0 references
18 March 2003
0 references
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.
0 references
stop-loss order-preserving property
0 references
CVaR bounds
0 references
insurance economic-risk capital
0 references