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

Author

Listed:
  • 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)

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.

Suggested Citation

  • Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“Beyond Value-at-Risk: GlueVaR Distortion Risk Measures”," IREA Working Papers 201302, University of Barcelona, Research Institute of Applied Economics, revised Feb 2013.
    • Handle: RePEc:ira:wpaper:201302
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    More about this item

    Keywords

    Risk measures; Distortion; Subadditivity; Tails; Risk appetite JEL classification: C60; C46; D81;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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