IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

“Beyond Value-at-Risk: GlueVaR Distortion Risk Measures”

  • Jaume Belles-Sampera

    ()

    (Faculty of Economics, University of Barcelona)

  • Montserrat Guillén

    ()

    (Faculty of Economics, University of Barcelona)

  • Miguel Santolino

    ()

    (Faculty of Economics, University of Barcelona)

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.ub.edu/irea/working_papers/2013/201302.pdf
Download Restriction: no

Paper provided by University of Barcelona, Research Institute of Applied Economics in its series IREA Working Papers with number 201302.

as
in new window

Length: 33 pages
Date of creation: Feb 2013
Date of revision: Feb 2013
Handle: RePEc:ira:wpaper:201302
Contact details of provider: Postal:
Diagonal 690-696, 08034 Barcelona

Phone: +34 93 402 43 13cazza
Web page: http://www.ub.edu/irea/
Email:


More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2008. "Risk Measures: Rationality and Diversification," Carlo Alberto Notebooks 100, Collegio Carlo Alberto.
  2. KERIMOGLU, Ebru & KARAHASAN, B. Can, 2014. "Location Patterns Of Creative Capital And Regional Disparities In Spain," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 14(1), pages 115-132.
  3. Enrique López-Bazo & Burhan Can Karahasan, 2011. "The Spatial Distribution of Human Capital: Can It Really Be Explained by Regional Differences in Market Access?," IREA Working Papers 201102, University of Barcelona, Research Institute of Applied Economics, revised Feb 2011.
  4. Peter Claeys & Raúl Ramos & Jordi Suriñach, 2008. "Fiscal sustainability across government tiers," International Economics and Economic Policy, Springer, vol. 5(1), pages 139-163, July.
  5. Nam, Hee Seok & Tang, Qihe & Yang, Fan, 2011. "Characterization of upper comonotonicity via tail convex order," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 368-373, May.
  6. Suriñach,Jordi & Duque,Juan Carlos & Royuela, Vicente, 2007. "Patrones De Publicación Internacional (Ssci) De Los Autores Afi liados A Universidades Españolas.En El Ámbito Económicoempresarial(1994-2004)," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 25, pages 277-310, Abril.
  7. Juan Carlos Duque & Raúl Ramos & Vicente Royuela, 2011. "Research networks and scientific production in Economics: The recent Spanish Experience," REVISTA ECOS DE ECONOMÍA, UNIVERSIDAD EAFIT, June.
  8. Raul Ramos & Manuel Artís & Jordi Suriñach, 2009. "Human Capital Spillovers Productivity and Regional Convergence in Spain," IREA Working Papers 200925, University of Barcelona, Research Institute of Applied Economics, revised Nov 2009.
  9. Michel Grabisch & Jean-Luc Marichal & Radko Mesiar & Endre Pap, 2011. "Aggregation functions: construction methods, conjunctive, disjunctive and mixed classes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00539032, HAL.
  10. Juan Carlos Duque & Raúl Ramos & Jordi Suriñach, 2007. "Supervised Regionalization Methods: A Survey," International Regional Science Review, SAGE Publishing, vol. 30(3), pages 195-220, July.
  11. Song, Yongsheng & Yan, Jia-An, 2009. "Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 459-465, December.
  12. Raul Ramos & Juan Carlos Duque & Jordi Suriñach, 2009. "Is The Wage Curve Formal Or Informal? Evidence For Colombia," IREA Working Papers 200918, University of Barcelona, Research Institute of Applied Economics, revised Jul 2009.
  13. Bolance, Catalina & Guillen, Montserrat & Pelican, Elena & Vernic, Raluca, 2008. "Skewed bivariate models and nonparametric estimation for the CTE risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 386-393, December.
  14. Guillen, Montserrat & Prieto, Faustino & Sarabia, José María, 2011. "Modelling losses and locating the tail with the Pareto Positive Stable distribution," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 454-461.
  15. Fageda, Xavier & Flores-Fillol, Ricardo, 2012. "Air services on thin routes: Regional versus low-cost airlines," Regional Science and Urban Economics, Elsevier, vol. 42(4), pages 702-714.
  16. Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
  17. Jordi López-Tamayo & Vicente Royuela & Jordi Suriñach, 2012. "“Building a “quality in work” index in Spain”," AQR Working Papers 201204, University of Barcelona, Regional Quantitative Analysis Group, revised Feb 2012.
  18. Sandra Nieto Viramontes & Raul Ramos Lobo, 2011. "¿La sobreeducación de los padres afecta al rendimiento académico de sus hijos?," Investigaciones de Economía de la Educación volume 6, in: Antonio Caparrós Ruiz (ed.), Investigaciones de Economía de la Educación 6, edition 1, volume 6, chapter 11, pages 185-206 Asociación de Economía de la Educación.
  19. Manuel Artis & Raul Ramos & Jordi Suriñach, 2006. "Job losses, outsourcing and relocation, empirical evidence using microdata," IREA Working Papers 200601, University of Barcelona, Research Institute of Applied Economics, revised Dec 2006.
  20. Vicente Royuel & Rosina Moreno & Esther Vaya, 2007. "Is the influence of quality of life on urban growth non-stationary in space? A case study of Barcelona," IREA Working Papers 200703, University of Barcelona, Research Institute of Applied Economics, revised Feb 2007.
  21. Ana María Osorio & Catalina Bolancé & Manuela Alcañiz, 2011. "Measuring early childhood health: a composite index comparing Colombian departments," IREA Working Papers 201122, University of Barcelona, Research Institute of Applied Economics, revised Oct 2011.
  22. Vicente Royuela & Diona Lambiri & Bianca Biagi, 2006. "Economía Urbana y Calidad de Vida. Una revisión del estado del conocimiento en España," IREA Working Papers 200606, University of Barcelona, Research Institute of Applied Economics, revised Dec 2006.
  23. Goovaerts, Marc & Linders, Daniël & Van Weert, Koen & Tank, Fatih, 2012. "On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 10-18.
  24. Javier Campos & Juan Luis Jiménez & Ancor Suárez-Alemán, 2012. "“Not always sunny in paradise: prices and brand diversity in touristic areas supermarkets”," IREA Working Papers 201211, University of Barcelona, Research Institute of Applied Economics, revised May 2012.
  25. Vicente Royuela & Jordi Lopez-Tamayo & Jordi Suriñach, 2007. "The institutional vs. the academic definition of the quality of work life. What is the focus of the European Commission?," IREA Working Papers 200713, University of Barcelona, Research Institute of Applied Economics, revised Jul 2007.
  26. Erika Badillo & Rosina Moreno, 2012. "“What Drives the Choice of Partners in R&D Cooperation? Heterogeneity across Sectors”," IREA Working Papers 201213, University of Barcelona, Research Institute of Applied Economics, revised Jul 2012.
  27. Owen, Nick A. & Inderwildi, Oliver R. & King, David A., 2010. "The status of conventional world oil reserves--Hype or cause for concern?," Energy Policy, Elsevier, vol. 38(8), pages 4743-4749, August.
  28. Peter Claeys & Luis Costa, 2012. "“A Note on the Relationship Between the Cyclicality of Markups and Fiscal Policy”," IREA Working Papers 201215, University of Barcelona, Research Institute of Applied Economics, revised Sep 2012.
  29. António Afonso & Peter Claeys & Ricardo M. Sousa, 2009. "Fiscal Regime Shifts in Portugal," IREA Working Papers 200921, University of Barcelona, Research Institute of Applied Economics, revised Oct 2009.
  30. David Castells-Quintana & Vicente Royuela, 2014. "Agglomeration, inequality and economic growth," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 52(2), pages 343-366, March.
  31. Jaume Belles-Sampera & José M. Merigó & Montserrat Guillén & Miguel Santolino, 2012. "The connection between distortion risk measures and ordered weighted averaging operators," IREA Working Papers 201201, University of Barcelona, Research Institute of Applied Economics, revised Jan 2012.
  32. Vicente Royuela & Miguel Vargas, 2007. "Defining housing market areas using commuting and migration algorithms.Catalonia (Spain) as an applied case study," IREA Working Papers 200707, University of Barcelona, Research Institute of Applied Economics, revised Apr 2007.
  33. Francesca Arnaboldi & Peter Claeys, 2008. "Internet Banking in Europe: a comparative analysis," IREA Working Papers 200811, University of Barcelona, Research Institute of Applied Economics, revised Sep 2008.
  34. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
  35. Vicente Royuela & Manuel Sanchis, 2010. "La reforma de la contratación en el mercado de trabajo: entre la flexibilidad y la seguridad," IREA Working Papers 201006, University of Barcelona, Research Institute of Applied Economics, revised Mar 2010.
  36. Germà Bel & Elbert Dijkgraaf & Xavier Fageda & Raymond Gradus, 2008. "Similar problems, different solutions: Comparing refuse collection in the Netherlands and Spain," IREA Working Papers 200815, University of Barcelona, Research Institute of Applied Economics, revised Nov 2008.
  37. Raquel Ortega-Argilés & Mariacristina Piva & Marco Vivarelli, 2014. "The transatlantic productivity gap: Is R&D the main culprit?," Canadian Journal of Economics, Canadian Economics Association, vol. 47(4), pages 1342-1371, November.
  38. Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005. "Subadditivity Re–Examined: the Case for Value-at-Risk," FMG Discussion Papers dp549, Financial Markets Group.
  39. Peter Claeys & Fabio Manca, 2011. "A missing spatial link in institutional quality," Applied Economics Letters, Taylor & Francis Journals, vol. 18(3), pages 223-227.
  40. Wang, Shaun, 1996. "Premium Calculation by Transforming the Layer Premium Density," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 26(01), pages 71-92, May.
  41. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
  42. Vicente Royuela & Gustavo Adolfo García, 2015. "Economic and Social Convergence in Colombia," Regional Studies, Taylor & Francis Journals, vol. 49(2), pages 219-239, February.
  43. Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006. "Risk measurement with equivalent utility principles," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 25, July.
  44. Ebru Kerimoglu & Burhan Can Karahasan, 2011. "“Geography of talent and regional differences in Spain”," IREA Working Papers 201107, University of Barcelona, Research Institute of Applied Economics, revised Jun 2011.
  45. Montserrat Guillen & Jens Perch Nielsen & Tomas Scheike & Ana Maria Perez-Marin, 2006. "Time-varying effects when analysing customer lifetime duration, application to the insurance market," IREA Working Papers 200604, University of Barcelona, Research Institute of Applied Economics, revised Dec 2006.
  46. Raul Ramos & Jordi Surinach & Manuel Artís, 2012. "Regional Economic Growth and Human Capital: The Role of Over-education," Regional Studies, Taylor & Francis Journals, vol. 46(10), pages 1389-1400, November.
  47. Chen, Die & Mao, Tiantian & Pan, Xiaoqing & Hu, Taizhong, 2012. "Extreme value behavior of aggregate dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 99-108.
  48. repec:dau:papers:123456789/2278 is not listed on IDEAS
  49. Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007. "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers 200710, University of Barcelona, Research Institute of Applied Economics, revised May 2007.
  50. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
  51. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
  52. Peter Claeys & Raúl Ramos & Jordi Suriñach, 2008. "Testing the FTPL across government tiers," IREA Working Papers 200812, University of Barcelona, Research Institute of Applied Economics, revised Oct 2008.
  53. Isabel Cortés-Jiménez & Manuela Pulina & Carme Riera i Prunera & Manuel Artís, 2009. "Tourism and Exports as a means of Growth," IREA Working Papers 200910, University of Barcelona, Research Institute of Applied Economics, revised May 2009.
  54. Hua, Lei & Joe, Harry, 2012. "Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 492-503.
  55. Szego, Giorgio, 2002. "Measures of risk," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1253-1272, July.
  56. Raul Ramos & Vicente Royuela & Jordi Suriñach, 2006. "An analysis of the determinants in economics and business publications by spanish universities between 1994 and 2004," IREA Working Papers 200602, University of Barcelona, Research Institute of Applied Economics, revised Dec 2006.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:ira:wpaper:201302. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alicia García)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.