Year: 2013
Type: article
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 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.
Source: Risk Analysis
DOI: 10.1111/risa.12080
Institution: Universitat de Barcelona
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2114497214