Generalizing Some Usual Risk Measures in Financial and Insurance Applications

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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