Conditional value-at-risk bounds for compound Poisson risks and anormal approximation

[摘要] A considerable number of equivalent formulas definingconditional value-at-risk and expected shortfall aregathered together. Then we present a simple method to bound theconditional value-at-risk of compound Poisson loss distributionsunder 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 findsapplications in actuarial science, where it is able to model theaggregate claims of an insurance-risk business.

[学科分类] 应用数学