Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks
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.
Collections
Cite this version of the work
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
Other formats
The following license files are associated with this item: