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Conditional value-at-risk bounds for compound Poisson risks and a normal approximation. (English) Zbl 1012.62110
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 known finite range, mean, and variance. This important class of non-normal loss distributions finds applications in actuarial science, where it is able to model the aggregate claims of an insurance-risk business.

MSC:
62P05 Applications of statistics to actuarial sciences and financial mathematics
91B30 Risk theory, insurance (MSC2010)
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