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2016-04

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The use of fexible quantile-based measures in risk assessment

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https://doi.org/10.1080/03610926.2014.938829

Resum

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.

Matèries

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

Matèries (anglès)

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

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Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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BELLES SAMPERA, Jaume, GUILLÉN, Montserrat, SANTOLINO, Miguel. The use of fexible quantile-based measures in risk assessment. _Communications in Statistics - Theory and Methods _. 2016. Vol. 45, núm. 6, pàgs. 1670-1681. [consulta: 21 de gener de 2026]. ISSN: 0361-0926. [Disponible a: https://hdl.handle.net/2445/106489]

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