Beyond Value-at-Risk: GlueVaR Distortion Risk Measures
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 201302, IREA Working Papers from University of Barcelona, Research Institute of Applied Economics
Abstract:
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 Glue-VaR, Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR) is explained. Tail-subadditivity is investigated and it is shown that some GlueVaR risk measures satisfy this property. An inter-pretation in terms of risk attitudes is provided and a discussion is given on the applicability in non-financial problems such as health, safety, environmental or catastrophic risk management.
Keywords: Risk measures; Distortion; Subadditivity; Tails; Risk appetite JEL classification: C60; C46; D81 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2013-02, Revised 2013-02
New Economics Papers: this item is included in nep-ban and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:ira:wpaper:201302
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