Before revision:  A new risk measure, the Lambda value at risk (Lambda VaR), has been recently proposed by Frittelli et al. (2014), as a generalization of VaR , with the ability of discriminating the risk among P&L distributions with different tail behaviour.
After revision:  A new risk measure, the Lambda value at risk (Lambda VaR), has been recently proposed by Frittelli et al. (2014), as a generalization of VaR with the ability of discriminating the risk among P&L distributions with different tail behaviour.