Beyond Value-at-Risk: GlueVaR Distortion Risk Measures.
نویسندگان
چکیده
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 GlueVaR, value-at-risk, and tail value-at-risk 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 nonfinancial problems such as health, safety, environmental, or catastrophic risk management.
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ورودعنوان ژورنال:
- Risk analysis : an official publication of the Society for Risk Analysis
دوره 34 1 شماره
صفحات -
تاریخ انتشار 2014