MAP20140005956Belles-Sampera, JaumeBeyond value-at-risk : glueVaR distortion risk measures / Jaume Belles-Sampera, Montserrat Guillén, Miguel SantolinoSumario: 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 managementEn: 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 I. Título.
