dc.contributor.author
Belles Sampera, Jaume
dc.contributor.author
Guillén, Montserrat
dc.contributor.author
Santolino, Miguel
dc.date.issued
2014-09-23T16:46:51Z
dc.date.issued
2014-09-23T16:46:51Z
dc.date.issued
2014-09-23T16:46:51Z
dc.identifier
https://hdl.handle.net/2445/57590
dc.description.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 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
dc.format
application/pdf
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/2013/201302.pdf
dc.relation
IREA – Working Papers, 2013, IR13/02
dc.relation
[WP E-IR13/02]
dc.rights
cc-by-nc-nd, (c) Belles Sampera et al., 2013
dc.rights
http://creativecommons.org/licenses/by-nc-nd/3.0/
dc.rights
info:eu-repo/semantics/openAccess
dc.source
Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))
dc.subject
Obligacions (Finances)
dc.subject
Risc (Economia)
dc.subject
Borsa de valors
dc.subject
Mercat de futurs
dc.subject
Stock-exchange
dc.subject
Futures market
dc.title
Beyond Value-at-Risk : GlueVaR Distortion Risk Measures
dc.type
info:eu-repo/semantics/workingPaper
