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Title: The use of flexible quantile-based measures in risk assessment [WP]
Author: Belles Sampera, Jaume
Guillén, Montserrat
Santolino, Miguel
Keywords: Bancs
Obligacions (Finances)
Risc (Economia)
Borsa de valors
Mercat de futurs
Futures market
Issue Date: 2013
Publisher: Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
Series/Report no: [WP E-RC14/09]
[WP E-IR13/23]
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.
Note: Reproducció del document publicat a:
It is part of: IREA – Working Papers, 2013, IR13/23
UB Riskcenter Working Paper Series, 2014/09
ISSN: 2014-1254
Appears in Collections:UB RISKCENTER – Working Papers Series
Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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