The use of flexible quantile-based measures in risk assessment [WP]

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dc.contributor.author	Belles Sampera, Jaume
dc.contributor.author	Guillén, Montserrat
dc.contributor.author	Santolino, Miguel
dc.date	2014-09-30T11:22:09Z
dc.date	2014-09-30T11:22:09Z
dc.date	2013
dc.date	2014-09-30T11:22:09Z
dc.identifier.citation	2014-1254
dc.identifier.uri	http://hdl.handle.net/2445/57833
dc.format	18 p.
dc.format	application/pdf
dc.language.iso	eng
dc.publisher	Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
dc.relation	Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2013/201323.pdf
dc.relation	IREA – Working Papers, 2013, IR13/23
dc.relation	UB Riskcenter Working Paper Series, 2014/09
dc.relation	[WP E-RC14/09]
dc.relation	[WP E-IR13/23]
dc.rights	cc-by-nc-nd, (c) Belles Sampera et al., 2013
dc.rights	info:eu-repo/semantics/openAccess
dc.rights	http://creativecommons.org/licenses/by-nc-nd/3.0/
dc.subject	Bancs
dc.subject	Comptabilitat
dc.subject	Obligacions (Finances)
dc.subject	Risc (Economia)
dc.subject	Borsa de valors
dc.subject	Mercat de futurs
dc.subject	Banks
dc.subject	Accounting
dc.subject	Bonds
dc.subject	Risk
dc.subject	Stock-exchange
dc.subject	Futures market
dc.title	The use of flexible quantile-based measures in risk assessment [WP]
dc.type	info:eu-repo/semantics/workingPaper
dc.description.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 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.

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