The use of flexible quantile-based measures in risk assessment

Jaume Belles-Sampera (), Montserrat Guillen and Miguel Santolino ()
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Jaume Belles-Sampera: Faculty of Economics, University of Barcelona
Miguel Santolino: Faculty of Economics, University of Barcelona

No 201323, IREA Working Papers from University of Barcelona, Research Institute of Applied Economics

Abstract: A new family of distortion risk measures -GlueVaR- is proposed in Belles- Sampera et al. (2013) to procure a risk assessment lying between those provided by common quantile-based risk measures. GlueVaR risk measures may be expressed as a combination of these standard risk measures. We show here that this relationship may be used to obtain approximations of GlueVaR measures for general skewed distribution functions using the Cornish-Fisher expansion. A subfamily of GlueVaR measures satis es the tail-subadditivity property. An example of risk measurement based on real insurance claim data is presented, where implications of tail-subadditivity in the aggregation of risks are illustrated.

Keywords: quantiles; subadditivity; tails; risk management; Value-at-Risk. JEL classification: (search for similar items in EconPapers)
Pages: 18 pages
Date: 2013-12, Revised 2013-12
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Related works:
Working Paper: The use of flexible quantile-based measures in risk assessment (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:ira:wpaper:201323

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