Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - Institut de Recerca en Economia Aplicada (IREA), … - 2015
A new family of distortion risk measures -GlueVaR- is proposed in Belles- Sampera et al. (2014) 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...