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.
Keywords: Distortion; risk appetite; risk measures; subadditivity; tails.
© 2013 Society for Risk Analysis.