Add to ORKGWe 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 Glue-VaR, Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR) 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 non-financial problems such as health, safety, environmental or catastrophic risk managemen
The aim of this book is to present recent results concerning one of the most popular risk indicators...
In the actuarial research, distortion, mean value and Haezendonck–Goovaerts risk measures are concep...
Distortion risk measures have been popular in financial and insurance applications in recent years d...
We propose a new family of risk measures, called GlueVaR, within the class of distortion risk measur...
A new family of distortion risk measures -GlueVaR- is proposed in Belles- Sampera et al. -2013- to p...
The purpose of the study is the application of a new risk measure, called GlueVaR, into investment r...
A new family of distortion risk measures GlueVaR is proposed in Belles-Sampera et al. (2014) to proc...
GlueVaR risk measures defined by Belles-Sampera et al. (2014) generalize the traditional quantile-ba...
Investing in the economic world, characterized by a high level of uncertainty and volatility, entail...
The current literature does not reach a consensus on which risk measures should be used in practice....
Value-at-risk has been broadly used in practice; however, it has some weaknesses. The most serious s...
In this thesis, we try to provide a broad econometric analysis of a class of risk measures, distort...
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
The article presents an analysis and survey regarding the validity of VaR risk measures in compariso...
Decision‑making process is an individual matter for each investor and the strategy they choose, refl...
The aim of this book is to present recent results concerning one of the most popular risk indicators...
In the actuarial research, distortion, mean value and Haezendonck–Goovaerts risk measures are concep...
Distortion risk measures have been popular in financial and insurance applications in recent years d...
We propose a new family of risk measures, called GlueVaR, within the class of distortion risk measur...
A new family of distortion risk measures -GlueVaR- is proposed in Belles- Sampera et al. -2013- to p...
The purpose of the study is the application of a new risk measure, called GlueVaR, into investment r...
A new family of distortion risk measures GlueVaR is proposed in Belles-Sampera et al. (2014) to proc...
GlueVaR risk measures defined by Belles-Sampera et al. (2014) generalize the traditional quantile-ba...
Investing in the economic world, characterized by a high level of uncertainty and volatility, entail...
The current literature does not reach a consensus on which risk measures should be used in practice....
Value-at-risk has been broadly used in practice; however, it has some weaknesses. The most serious s...
In this thesis, we try to provide a broad econometric analysis of a class of risk measures, distort...
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
The article presents an analysis and survey regarding the validity of VaR risk measures in compariso...
Decision‑making process is an individual matter for each investor and the strategy they choose, refl...
The aim of this book is to present recent results concerning one of the most popular risk indicators...
In the actuarial research, distortion, mean value and Haezendonck–Goovaerts risk measures are concep...
Distortion risk measures have been popular in financial and insurance applications in recent years d...