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

Listed author(s):
  • 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.

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File URL: http://www.ub.edu/irea/working_papers/2013/201302.pdf
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Paper provided by University of Barcelona, Research Institute of Applied Economics in its series IREA Working Papers with number 201302.

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Length: 33 pages
Date of creation: Feb 2013
Date of revision: Feb 2013
Handle: RePEc:ira:wpaper:201302
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