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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| 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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| _version_ | 1832567205780258816 |
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| author | Werner Hürlimann |
| author_facet | Werner Hürlimann |
| author_sort | Werner Hürlimann |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-e9f3cfab900f4e48b374df7af1d84ed9 |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2003-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-e9f3cfab900f4e48b374df7af1d84ed92025-02-03T01:02:08ZengWileyJournal of Applied Mathematics1110-757X1687-00422003-01-012003314115310.1155/S1110757X0320108XConditional value-at-risk bounds for compound Poisson risks and a normal approximationWerner Hürlimann0Schönholzweg 24, Winterthur CH-8409, SwitzerlandA 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.http://dx.doi.org/10.1155/S1110757X0320108X |
| spellingShingle | Werner Hürlimann Conditional value-at-risk bounds for compound Poisson risks and a normal approximation Journal of Applied Mathematics |
| title | Conditional value-at-risk bounds for compound Poisson risks and a
normal approximation |
| title_full | Conditional value-at-risk bounds for compound Poisson risks and a
normal approximation |
| title_fullStr | Conditional value-at-risk bounds for compound Poisson risks and a
normal approximation |
| title_full_unstemmed | Conditional value-at-risk bounds for compound Poisson risks and a
normal approximation |
| title_short | Conditional value-at-risk bounds for compound Poisson risks and a
normal approximation |
| title_sort | conditional value at risk bounds for compound poisson risks and a normal approximation |
| url | http://dx.doi.org/10.1155/S1110757X0320108X |
| work_keys_str_mv | AT wernerhurlimann conditionalvalueatriskboundsforcompoundpoissonrisksandanormalapproximation |