| LDR | | | 00000cab a2200000 4500 |
| 001 | | | MAP20140005956 |
| 003 | | | MAP |
| 005 | | | 20140227133448.0 |
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| 040 | | | $aMAP$bspa$dMAP |
| 084 | | | $a7 |
| 100 | 1 | | $0MAPA20140002337$aBelles-Sampera, Jaume |
| 245 | 1 | 0 | $aBeyond value-at-risk$b: glueVaR distortion risk measures$cJaume Belles-Sampera, Montserrat Guillén, Miguel Santolino |
| 520 | | | $aWe 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. |
| 773 | 0 | | $wMAP20077000345$tRisk analysis : an international journal$dMcLean, Virginia : Society for Risk Analysis, 1987-2015$x0272-4332$g13/01/2014 Volumen 34 Número 1 - enero 2014 |
| 856 | | | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |
