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

DOI10.1155/S1110757X0320108XzbMath1012.62110OpenAlexW2016736049MaRDI QIDQ1864548

Werner Hürlimann

Publication date: 18 March 2003

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/50042

zbMATH Keywords

CVaR boundsinsurance economic-risk capitalstop-loss order-preserving property

Mathematics Subject Classification ID

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