Belles Sampera, JaumeGuillén, MontserratSantolino, Miguel2017-02-032017-04-302016-040361-0926https://hdl.handle.net/2445/106489A 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.12 p.application/pdfeng(c) Taylor and Francis, 2016BancsComptabilitatObligacions (Finances)Risc (Economia)Borsa de valorsMercat de futursBanksAccountingBondsRiskStock-exchangeFutures marketinfo:eu-repo/semantics/article6439152017-02-03info:eu-repo/semantics/openAccess