Hürlimann, Werner Conditional value-at-risk bounds for compound Poisson risks and a normal approximation. (English) Zbl 1012.62110 J. Appl. Math. 2003, No. 3, 141-153 (2003). 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. Cited in 18 Documents MSC: 62P05 Applications of statistics to actuarial sciences and financial mathematics 91B30 Risk theory, insurance (MSC2010) Keywords:stop-loss order-preserving property; CVaR bounds; insurance economic-risk capital PDFBibTeX XMLCite \textit{W. Hürlimann}, J. Appl. Math. 2003, No. 3, 141--153 (2003; Zbl 1012.62110) Full Text: DOI EuDML