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Title: The use of fexible quantile-based measures in risk assessment
Author: Belles Sampera, Jaume
Guillén, Montserrat
Santolino, Miguel
Keywords: Bancs
Obligacions (Finances)
Risc (Economia)
Borsa de valors
Mercat de futurs
Futures market
Issue Date: Apr-2016
Publisher: Taylor and Francis
Abstract: A new family of distortion risk measures GlueVaR is proposed in Belles-Sampera et al. (2014) to procure a risk assessment lying between those provided by common quantile-based risk measures. GlueVaR 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.
Note: Versió postprint del document publicat a:
It is part of: Communications in Statistics - Theory and Methods , 2016, vol. 45, num. 6, p. 1670-1681
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ISSN: 0361-0926
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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