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The use of fexible quantile-based measures in risk assessment
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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.
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BELLES SAMPERA, Jaume, GUILLÉN, Montserrat and SANTOLINO, Miguel. The use of fexible quantile-based measures in risk assessment. Communications in Statistics - Theory and Methods . 2016. Vol. 45, num. 6, pags. 1670-1681. ISSN 0361-0926. [consulted: 21 of August of 2026]. Available at: https://hdl.handle.net/2445/106489