A two-parameter family of complexity measuresC (α,β) based on the Rényi entropies is introduced and characterized by a detailed study of its mathematical properties. This family is the generalization of a continuous version of the LMC complexity, which is recovered for α = 1 and β = 2. These complexity measures are obtained by multiplying two quantities bringing global information on the probability distribution defining the system. When one of the parameters, α or β, goes to infinity, one of the global factors becomes a local factor. For this special case, the complexity is calculated on different quantum systems: H-atom, harmonic oscillator and square well. 89.75.Fb.