title: Beyond Value-at-Risk: GlueVaR Distortion Risk Measures.
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.
authors.affiliation: Department of Econometrics, Riskcenter-IREA, University of Barcelona, Barcelona, Spain.
authors.forename: Jaume
authors.initials: J
authors.lastname: Belles-Sampera
authors.affiliation: Department of Econometrics, Riskcenter-IREA, University of Barcelona, Barcelona, Spain.
authors.forename: Montserrat
authors.initials: M
authors.lastname: Guillén
authors.affiliation: Department of Econometrics, Riskcenter-IREA, University of Barcelona, Barcelona, Spain.
authors.forename: Miguel
authors.initials: M
authors.lastname: Santolino
mesh_terms: D005376:Financial Management / Q000191:economics / Q000706:statistics & numerical data; D006801:Humans; D007341:Insurance / Q000191:economics / Q000706:statistics & numerical data; D017059:Models, Econometric; D015233:Models, Statistical; D012308:Risk Management / Q000191:economics / Q000706:statistics & numerical data*; D023481:Terrorism / Q000191:economics / Q000706:statistics & numerical data
keywords: Distortion; risk appetite; risk measures; subadditivity; tails