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Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures
Author(s) -
BellesSampera Jaume,
Guillén Montserrat,
Santolino Miguel
Publication year - 2014
Publication title -
risk analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.972
H-Index - 130
eISSN - 1539-6924
pISSN - 0272-4332
DOI - 10.1111/risa.12080
Subject(s) - actuarial science , value at risk , risk management , risk analysis (engineering) , subadditivity , coherent risk measure , dynamic risk measure , distortion (music) , risk assessment , expected shortfall , value (mathematics) , interpretation (philosophy) , econometrics , business , mathematics , computer science , statistics , finance , computer security , amplifier , computer network , discrete mathematics , bandwidth (computing) , programming language
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.