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...

Building on a new theory of parametric risk models initiated in Hürlimann(1998), it is shown how mean scaled individual risk models can be constructed. The approximate computation of their distributions and related quantities can be done in the author's (1990) mathematical framework of...

A formula for the conditional value-at-risk of classical portfolio insurance is derived and shown to be constant for sufficiently small loss probabilities. As illustrations, we discuss portfolio insurance for an equity market index using empirical data, and analyze the more general multivariate...