Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - In: Insurance: Mathematics and Economics 58 (2014) C, pp. 132-137
GlueVaR risk measures defined by Belles-Sampera et al. (2014) generalize the traditional quantile-based approach to risk measurement, while a subfamily of these risk measures has been shown to satisfy the tail-subadditivity property. In this paper we show how GlueVaR risk measures can be...