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Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks

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Gini-type-measures-of-risk-and-variability-Gini-shortfall-capital-allocations-and-heavy-tailed-risks_2017_Journal-of-Banking-Finance-a.pdf (648.98 KB)

Date

2017-10-01

Authors

Furman, Edward
Wang, Ruodo
Zitikis, Ricardas

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

Abstract

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.

Description

The final publication is available at Elsevier via http://dx.doi.org/10.1016/j.jbankfin.2017.06.013 © 2017. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/

Keywords

Choquet integral, Gini capital allocation, Gini shortfall, Risk measure, Variability measure

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Citation

URI

https://doi.org/10.1016/j.jbankfin.2017.06.013
 http://hdl.handle.net/10012/12760

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Waterloo Research
Statistics and Actuarial Science