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Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/57590
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dc.contributor.authorBelles Sampera, Jaume-
dc.contributor.authorGuillén, Montserrat-
dc.contributor.authorSantolino, Miguel-
dc.date.accessioned2014-09-23T16:46:51Z-
dc.date.available2014-09-23T16:46:51Z-
dc.date.issued2013-
dc.identifier.issn2014-1254-
dc.identifier.urihttp://hdl.handle.net/2445/57590-
dc.description.abstractWe propose a new family of risk measures, called GlueVaR, within the class of distortion risk measures. Analytical closed-form expressions are shown for the most frequently used distribution functions in financial and insurance applications. The relationship between Glue-VaR, Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR) is explained. Tail-subadditivity is investigated and it is shown that some GlueVaR risk measures satisfy this property. An interpretation in terms of risk attitudes is provided and a discussion is given on the applicability in non-financial problems such as health, safety, environmental or catastrophic risk management-
dc.format.extent38 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/2013/201302.pdf-
dc.relation.ispartofIREA – Working Papers, 2013, IR13/02-
dc.relation.ispartofseries[WP E-IR13/02]-
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.titleBeyond Value-at-Risk : GlueVaR Distortion Risk Measures-
dc.typeinfo:eu-repo/semantics/workingPaper-
dc.date.updated2014-09-23T16:46:51Z-
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess-
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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