Belles Sampera, JaumeGuillén, MontserratSantolino, Miguel2014-09-232014-09-2320132014-1254https://hdl.handle.net/2445/57590We 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 management38 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/workingPaper2014-09-23info:eu-repo/semantics/openAccess