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IR13-023_BellesSampera.pdf (699.19 KB)

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Working paper

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2013

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cc-by-nc-nd, (c) Belles Sampera et al., 2013
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/57833

The use of flexible quantile-based measures in risk assessment [WP]

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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.

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Bancs, Comptabilitat, Obligacions (Finances), Risc (Economia), Borsa de valors, Mercat de futurs

Subject (English)

Banks, Accounting, Bonds, Risk, Stock-exchange, Futures market

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Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))
UB RISKCENTER – Working Papers Series

Citation

BELLES SAMPERA, Jaume, GUILLÉN, Montserrat and SANTOLINO, Miguel. The use of flexible quantile-based measures in risk assessment [WP]. IREA – Working Papers. 2013. Vol.  IR13/23. ISSN 2014-1254. [consulted: 13 of June of 2026]. Available at: https://hdl.handle.net/2445/57833

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