Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
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, wh...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2003-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/S1110757X0320108X |
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