Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/106489
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Belles Sampera, Jaume | - |
dc.contributor.author | Guillén, Montserrat | - |
dc.contributor.author | Santolino, Miguel | - |
dc.date.accessioned | 2017-02-03T13:15:50Z | - |
dc.date.available | 2017-04-30T22:01:23Z | - |
dc.date.issued | 2016-04 | - |
dc.identifier.issn | 0361-0926 | - |
dc.identifier.uri | http://hdl.handle.net/2445/106489 | - |
dc.description.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. | - |
dc.format.extent | 12 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Taylor and Francis | - |
dc.relation.isformatof | Versió postprint del document publicat a: https://doi.org/10.1080/03610926.2014.938829 | - |
dc.relation.ispartof | Communications in Statistics - Theory and Methods , 2016, vol. 45, num. 6, p. 1670-1681 | - |
dc.relation.uri | https://doi.org/10.1080/03610926.2014.938829 | - |
dc.rights | (c) Taylor and Francis, 2016 | - |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Bancs | - |
dc.subject.classification | Comptabilitat | - |
dc.subject.classification | Obligacions (Finances) | - |
dc.subject.classification | Risc (Economia) | - |
dc.subject.classification | Borsa de valors | - |
dc.subject.classification | Mercat de futurs | - |
dc.subject.other | Banks | - |
dc.subject.other | Accounting | - |
dc.subject.other | Bonds | - |
dc.subject.other | Risk | - |
dc.subject.other | Stock-exchange | - |
dc.subject.other | Futures market | - |
dc.title | The use of fexible quantile-based measures in risk assessment | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 643915 | - |
dc.date.updated | 2017-02-03T13:15:50Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
643915.pdf | 379.27 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.