# name
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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Communications in Statistics - Theory and Methods , 2016, vol. 45, num. 6, p. 1670-1681

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

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