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Generalizing Some Usual Risk Measures in Financial and Insurance Applications

  • Conference paper
Modeling and Simulation in Engineering, Economics, and Management (MS 2013)

Part of the book series: Lecture Notes in Business Information Processing ((LNBIP,volume 145))

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Abstract

We illustrate a family of risk measures called GlueVaR that combine Value-at-Risk and Tail Value-at-Risk at different tolerance levels and have analytical closed-form expressions for the most frequently used distribution functions in financial and insurance applications, i.e. Normal, Log-normal, Student t and Generalized Pareto distributions. Tail-subadditivity is a remarkable property of a subfamily of GlueVaR risk measures. An implementation to the analysis of risk in an insurance portfolio is investigated.

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Author information

Authors and Affiliations

  1. Department of Econometrics, Riskcenter-IREA, University of Barcelona, Av. Diagonal 690, 08034, Barcelona, Spain

    Jaume Belles-Sampera, Montserrat Guillén & Miguel Santolino

Authors
  1. Jaume Belles-Sampera
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  2. Montserrat Guillén
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  3. Miguel Santolino
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Editor information

Editors and Affiliations

  1. Department of Finance and Accounting, University Jaume I, Castelló de la Plana, Spain

    María Ángeles Fernández-Izquierdo  & María Jesús Muñoz-Torres  & 

  2. Department of Business Administration and Marketing, University Jaume I, Castellón de la Plana, Spain

    Raúl León

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Belles-Sampera, J., Guillén, M., Santolino, M. (2013). Generalizing Some Usual Risk Measures in Financial and Insurance Applications. In: Fernández-Izquierdo, M.Á., Muñoz-Torres, M.J., León, R. (eds) Modeling and Simulation in Engineering, Economics, and Management. MS 2013. Lecture Notes in Business Information Processing, vol 145. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-38279-6_8

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  • DOI: https://doi.org/10.1007/978-3-642-38279-6_8

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-38278-9

  • Online ISBN: 978-3-642-38279-6

  • eBook Packages: Computer ScienceComputer Science (R0)

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