Beyond value-at-risk : glueVaR distortion risk measures

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      <subfield code="a">Belles-Sampera, Jaume</subfield>
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      <subfield code="a">Beyond value-at-risk</subfield>
      <subfield code="b">: glueVaR distortion risk measures</subfield>
      <subfield code="c">Jaume Belles-Sampera, Montserrat Guillén, Miguel Santolino</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="w">MAP20077000345</subfield>
      <subfield code="t">Risk analysis : an international journal</subfield>
      <subfield code="d">McLean, Virginia : Society for Risk Analysis, 1987-2015</subfield>
      <subfield code="x">0272-4332</subfield>
      <subfield code="g">13/01/2014 Volumen 34 Número 1 - enero 2014 </subfield>
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      <subfield code="y">MÁS INFORMACIÓN</subfield>
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