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http://hdl.handle.net/2445/57833| Title: | The use of flexible quantile-based measures in risk assessment [WP] |
| 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: | 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: http://www.ub.edu/irea/working_papers/2013/201323.pdf |
| It is part of: | IREA – Working Papers, 2013, IR13/23 UB Riskcenter Working Paper Series, 2014/09 |
| URI: | http://hdl.handle.net/2445/57833 |
| ISSN: | 2014-1254 |
| 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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| File | Description | Size | Format | |
|---|---|---|---|---|
| IR13-023_BellesSampera.pdf | 699.19 kB | Adobe PDF | View/Open |
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