The use of flexible quantile-based measures in risk assessment

Jaume Belles-Sampera, Montserrat Guillén and Miguel Santolino

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 6, 1670-1681

Abstract: A new family of distortion risk measures—GlueVaR—is proposed in Belles-Sampera et al. (2014) to procure a risk assessment lying between those provided by common quantile-based risk measures. GlueVaR 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 satisfies 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.

Date: 2016
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DOI: 10.1080/03610926.2014.938829

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