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...
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2003-01-01
|
| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/S1110757X0320108X |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| 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 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. |
|---|---|
| ISSN: | 1110-757X 1687-0042 |