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Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/57833
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dc.contributor.authorBelles Sampera, Jaume-
dc.contributor.authorGuillén, Montserrat-
dc.contributor.authorSantolino, Miguel-
dc.date.accessioned2014-09-30T11:22:09Z-
dc.date.available2014-09-30T11:22:09Z-
dc.date.issued2013-
dc.identifier.issn2014-1254-
dc.identifier.urihttp://hdl.handle.net/2445/57833-
dc.description.abstractA 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.-
dc.format.extent18 p.-
dc.format.mimetypeapplication/pdf-
dc.language.isoeng-
dc.publisherUniversitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública-
dc.relation.isformatofReproducció del document publicat a: http://www.ub.edu/irea/working_papers/2013/201323.pdf-
dc.relation.ispartofIREA – Working Papers, 2013, IR13/23-
dc.relation.ispartofUB Riskcenter Working Paper Series, 2014/09-
dc.relation.ispartofseries[WP E-RC14/09]-
dc.relation.ispartofseries[WP E-IR13/23]-
dc.rightscc-by-nc-nd, (c) Belles Sampera et al., 2013-
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/-
dc.sourceDocuments de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))-
dc.subject.classificationBancs-
dc.subject.classificationComptabilitat-
dc.subject.classificationObligacions (Finances)-
dc.subject.classificationRisc (Economia)-
dc.subject.classificationBorsa de valors-
dc.subject.classificationMercat de futurs-
dc.subject.otherBanks-
dc.subject.otherAccounting-
dc.subject.otherBonds-
dc.subject.otherRisk-
dc.subject.otherStock-exchange-
dc.subject.otherFutures market-
dc.titleThe use of flexible quantile-based measures in risk assessment [WP]-
dc.typeinfo:eu-repo/semantics/workingPaper-
dc.date.updated2014-09-30T11:22:09Z-
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess-
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))
UB RISKCENTER – Working Papers Series

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