# name
Beyond Value-at-Risk : GlueVaR Distortion Risk Measures

# metadata.dc.description.abstract[].value
We propose a new family of risk measures, called GlueVaR, within the class of distortion risk measures. Analytical closed-form expressions are shown for the most frequently used distribution functions in financial and insurance applications. The relationship between Glue-VaR, Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR) is explained. Tail-subadditivity is investigated and it is shown that some GlueVaR risk measures satisfy this property. An interpretation in terms of risk attitudes is provided and a discussion is given on the applicability in non-financial problems such as health, safety, environmental or catastrophic risk management

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

# 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
Beyond Value-at-Risk : GlueVaR Distortion Risk Measures