Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - Facultat d'Economia i Empresa, Universitat de Barcelona - 2013
A new family of distortion risk measures -GlueVaR- is proposed in Belles- Sampera et al. (2013) to procure a risk assessment lying between those provided by common quantile-based risk measures. GlueVaR risk measures may be expressed as a combination of these standard risk measures. We show here...