Beyond Value-at-Risk: GlueVaR Distortion Risk Measures

Risk Anal. 2014 Jan;34(1):121-34. doi: 10.1111/risa.12080. Epub 2013 Jun 11.

Abstract

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.

Publication types

  • Research Support, Non-U.S. Gov't

MeSH terms

  • Financial Management / economics
  • Financial Management / statistics & numerical data
  • Humans
  • Insurance / economics
  • Insurance / statistics & numerical data
  • Models, Econometric
  • Models, Statistical
  • Risk Management / economics
  • Risk Management / statistics & numerical data*
  • Terrorism / economics
  • Terrorism / statistics & numerical data