Universitat de Barcelona
2014-09-23T16:46:51Z
2014-09-23T16:46:51Z
2013
2014-09-23T16:46:51Z
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 interpretation 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
Document de treball
Anglès
Bancs; Comptabilitat; Obligacions (Finances); Risc (Economia); Borsa de valors; Mercat de futurs; Banks; Accounting; Bonds; Risk; Stock-exchange; Futures market
Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2013/201302.pdf
IREA – Working Papers, 2013, IR13/02
[WP E-IR13/02]
cc-by-nc-nd, (c) Belles Sampera et al., 2013
http://creativecommons.org/licenses/by-nc-nd/3.0/
