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

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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.date.updated2014-09-30T11:22:09Z
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.identifier.issn2014-1254
dc.identifier.urihttps://hdl.handle.net/2445/57833
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.accessRightsinfo:eu-repo/semantics/openAccess
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

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