Title:
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The use of fexible quantile-based measures in risk assessment
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Author:
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Belles Sampera, Jaume; Guillén, Montserrat; Santolino, Miguel
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Other authors:
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Universitat de Barcelona |
Abstract:
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A 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. |
Subject(s):
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-Bancs -Comptabilitat -Obligacions (Finances) -Risc (Economia) -Borsa de valors -Mercat de futurs -Banks -Accounting -Bonds -Risk -Stock-exchange -Futures market |
Rights:
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(c) Taylor and Francis, 2016
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Document type:
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Article Article - Accepted version |
Published by:
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Taylor and Francis
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