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

# metadata.dc.description.abstract[].value
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.

# metadata.dc.publisher[].value
Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública

# metadata.dc.relation.ispartof[].value
UB Riskcenter Working Paper Series, 2014/09

# metadata.dc.rights[].value
cc-by-nc-nd, (c) Belles Sampera et al., 2013

# metadata.dc.source[].value
Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

# metadata.dc.title[].value
The use of flexible quantile-based measures in risk assessment [WP]