Belles Sampera, JaumeGuillén, MontserratSantolino, Miguel2014-09-302014-09-3020132014-1254https://hdl.handle.net/2445/57833A 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.18 p.application/pdfengcc-by-nc-nd, (c) Belles Sampera et al., 2013http://creativecommons.org/licenses/by-nc-nd/3.0/BancsComptabilitatObligacions (Finances)Risc (Economia)Borsa de valorsMercat de futursBanksAccountingBondsRiskStock-exchangeFutures marketinfo:eu-repo/semantics/workingPaper2014-09-30info:eu-repo/semantics/openAccess