Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
نویسندگان
چکیده
منابع مشابه
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, which is assumed to have a known finite range, mean, and variance. This important class of nonnorma...
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The Compound Poisson Approximation for a Portfolio of Dependent Risks
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W study optimization problems with value-at-risk (VaR) constraints. Because it lacks subadditivity, VaR is not a coherent risk measure and does not necessarily preserve the convexity. Thus, the problems we consider are typically not provably convex. As such, the conditional value-at-risk (CVaR) approximation is often used to handle such problems. Even though the CVaR approximation is known as t...
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics
سال: 2003
ISSN: 1110-757X,1687-0042
DOI: 10.1155/s1110757x0320108x