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- Title
Beyond Value-at-Risk: GlueVaR Distortion Risk Measures.
- Authors
Belles‐Sampera, Jaume; Guillén, Montserrat; Santolino, Miguel
- Abstract
We propose a new family of risk measures, called GlueVaR, within the class of distortion risk measures. Analytical closed-form expressions are shown for the most frequently used distribution functions in financial and insurance applications. The relationship between GlueVaR, value-at-risk, and tail value-at-risk is explained. Tail subadditivity is investigated and it is shown that some GlueVaR risk measures satisfy this property. An interpretation in terms of risk attitudes is provided and a discussion is given on the applicability in nonfinancial problems such as health, safety, environmental, or catastrophic risk management.
- Subjects
RISK assessment; VALUE at risk; INSURANCE applications; FINANCIAL institutions; RISK management in business
- Publication
Risk Analysis: An International Journal, 2014, Vol 34, Issue 1, p121
- ISSN
0272-4332
- Publication type
Article
- DOI
10.1111/risa.12080