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5 March 2003 Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
Werner Hürlimann
J. Appl. Math. 2003(3): 141-153 (5 March 2003). DOI: 10.1155/S1110757X0320108X


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.


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Werner Hürlimann. "Conditional value-at-risk bounds for compound Poisson risks and a normal approximation." J. Appl. Math. 2003 (3) 141 - 153, 5 March 2003.


Published: 5 March 2003
First available in Project Euclid: 7 April 2003

zbMATH: 1012.62110
MathSciNet: MR1982354
Digital Object Identifier: 10.1155/S1110757X0320108X

Primary: 62P05 , 91B30

Rights: Copyright © 2003 Hindawi

Vol.2003 • No. 3 • 5 March 2003
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