Beyond value-at-risk : glueVaR distortion risk measures

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<dc:creator>Belles-Sampera, Jaume</dc:creator>
<dc:date>2014-01-13</dc:date>
<dc:description xml:lang="es">Sumario: 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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/146115.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Beyond value-at-risk : glueVaR distortion risk measures</dc:title>
<dc:relation xml:lang="es">En: Risk analysis : an international journal. - McLean, Virginia : Society for Risk Analysis, 1987-2015 = ISSN 0272-4332. - 13/01/2014 Volumen 34 Número 1 - enero 2014 </dc:relation>
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