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“The use of flexible quantile-based measures in risk assessment”

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

A new family of distortion risk measures -GlueVaR- is proposed in Belles- Sampera et al. (2013) to procure a risk assessment lying between those provided by common quantile-based risk measures. GlueVaR risk 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 satis es 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, 2013. "“The use of flexible quantile-based measures in risk assessment”," IREA Working Papers 201323, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.
    • Handle: RePEc:ira:wpaper:201323
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    References listed on IDEAS

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