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The use of flexible quantile-based measures in risk assessment

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  • Jaume Belles-Sampera
  • Montserrat Guillén
  • Miguel Santolino

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.

Suggested Citation

  • Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2016. "The use of flexible quantile-based measures in risk assessment," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(6), pages 1670-1681, March.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:6:p:1670-1681
    DOI: 10.1080/03610926.2014.938829
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    Cited by:

    1. Wenhua Lv & Linxiao Wei, 2023. "Distributionally Robust Reinsurance with Glue Value-at-Risk and Expected Value Premium," Mathematics, MDPI, vol. 11(18), pages 1-23, September.

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