We propose a new family of risk measures, called GlueVaR, within the class of distortion risk
measures. Analytical closed‐form expressions are shown for the most frequently used …

A method to estimate an extreme quantile that requires no distributional assumptions is
presented. The approach is based on transformed kernel estimation of the cumulative …

Heavy‐tailed distributions play an important role in modeling data in actuarial and financial
sciences. In this article, a new method is suggested to define new distributions suitable for …

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 …

In most of the United States, insurance companies may use gender to determine car
insurance rates. In addition, several studies have shown that women over the age of 25 …

Rate regulation plays an important role in the financial service of the auto insurance
industry. Modelling the Size of Loss distributions, particularly the large loss distribution at the …

Understanding the attitude to risk implicit within a risk measure sheds some light on the way
in which decision makers perceive losses. In this paper, a two-stage strategy is developed to …

Closed-form expressions for basic risk measures, such as value-at-risk and tail value-at-risk,
are given for a family of statistical distributions that are specially suitable for right-skewed …

Value at risk and expected shortfall are the two most popular measures of financial risk. But
the available R packages for their computation are limited. Here, we introduce an R …

Value at risk is the most popular measure of financial risk. It was introduced in the 1980s.
Much theory have been developed since then. The developments have been most intensive …