Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks
| dc.contributor.author | Furman, Edward | |
| dc.contributor.author | Wang, Ruodo | |
| dc.contributor.author | Zitikis, Ricardas | |
| dc.date.accessioned | 2017-12-19 19:48:29 (GMT) | |
| dc.date.available | 2017-12-19 19:48:29 (GMT) | |
| dc.date.issued | 2017-10-01 | |
| dc.identifier.uri | https://doi.org/10.1016/j.jbankfin.2017.06.013 | |
| dc.identifier.uri | http://hdl.handle.net/10012/12760 | |
| dc.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/ | en |
| dc.description.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. | en |
| dc.description.sponsorship | Natural Sciences and Engineering Research Council (NSERC) of Canada (Grant Numbers RGPIN-2016-356039, RGPIN-435844-2013, RGPIN-2016-427216) EF and RZ also acknowledge the support of their research by the Casualty Actuarial Society (CAS) | en |
| dc.language.iso | en | en |
| dc.publisher | Elsevier | en |
| dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 International | * |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
| dc.subject | Choquet integral | en |
| dc.subject | Gini capital allocation | en |
| dc.subject | Gini shortfall | en |
| dc.subject | Risk measure | en |
| dc.subject | Variability measure | en |
| dc.title | Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks | en |
| dc.type | Article | en |
| dcterms.bibliographicCitation | Furman, E., Wang, R., & Zitikis, R. (2017). Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks. Journal of Banking & Finance, 83(Supplement C), 70–84. https://doi.org/10.1016/j.jbankfin.2017.06.013 | en |
| uws.contributor.affiliation1 | Faculty of Mathematics | en |
| uws.contributor.affiliation2 | Statistics and Actuarial Science | en |
| uws.typeOfResource | Text | en |
| uws.peerReviewStatus | Reviewed | en |
| uws.scholarLevel | Faculty | en |
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