Conditional value-at-risk bounds for compound Poisson risks and a normal approximation.
Journal of Applied Mathematics (2003)
- Volume: 2003, Issue: 3, page 141-153
- ISSN: 1110-757X
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topHürlimann, Werner. "Conditional value-at-risk bounds for compound Poisson risks and a normal approximation.." Journal of Applied Mathematics 2003.3 (2003): 141-153. <http://eudml.org/doc/50042>.
@article{Hürlimann2003,
author = {Hürlimann, Werner},
journal = {Journal of Applied Mathematics},
keywords = {stop-loss order-preserving property; CVaR bounds; insurance economic-risk capital},
language = {eng},
number = {3},
pages = {141-153},
publisher = {Hindawi Publishing Corporation, New York},
title = {Conditional value-at-risk bounds for compound Poisson risks and a normal approximation.},
url = {http://eudml.org/doc/50042},
volume = {2003},
year = {2003},
}
TY - JOUR
AU - Hürlimann, Werner
TI - Conditional value-at-risk bounds for compound Poisson risks and a normal approximation.
JO - Journal of Applied Mathematics
PY - 2003
PB - Hindawi Publishing Corporation, New York
VL - 2003
IS - 3
SP - 141
EP - 153
LA - eng
KW - stop-loss order-preserving property; CVaR bounds; insurance economic-risk capital
UR - http://eudml.org/doc/50042
ER -
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