Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks
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We introduce and explore Gini-type measures of risk and variability, and develop the corresponding economic capital allocation rules. The new measures are coherent, additive for co-monotonic risks, convenient computationally, and require only finiteness of the mean. To elucidate our theoretical considerations, we derive closed-form expressions for several parametric families of distributions that are of interest in insurance and finance, and further apply our findings to a risk portfolio of a bancassurance company.
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Edward Furman, Ruodo Wang, Ricardas Zitikis (2017). Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks. UWSpace. http://hdl.handle.net/10012/12760
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