Beyond value-at-risk : glueVaR distortion risk measures

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<title>Beyond value-at-risk</title>
<subTitle>: glueVaR distortion risk measures</subTitle>
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<namePart>Belles-Sampera, Jaume</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Jaume Belles-Sampera, Montserrat Guillén, Miguel Santolino</note>
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<title>Risk analysis : an international journal</title>
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<publisher>McLean, Virginia : Society for Risk Analysis, 1987-2015</publisher>
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<identifier type="issn">0272-4332</identifier>
<identifier type="local">MAP20077000345</identifier>
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<text>13/01/2014 Volumen 34 Número 1 - enero 2014 </text>
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