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http://hdl.handle.net/2445/106489
Title: | The use of fexible quantile-based measures in risk assessment |
Author: | Belles Sampera, Jaume Guillén, Montserrat Santolino, Miguel |
Keywords: | Bancs Comptabilitat Obligacions (Finances) Risc (Economia) Borsa de valors Mercat de futurs Banks Accounting Bonds Risk Stock-exchange 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: https://doi.org/10.1080/03610926.2014.938829 |
It is part of: | Communications in Statistics - Theory and Methods , 2016, vol. 45, num. 6, p. 1670-1681 |
URI: | http://hdl.handle.net/2445/106489 |
Related resource: | https://doi.org/10.1080/03610926.2014.938829 |
ISSN: | 0361-0926 |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
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