Browsing Waterloo Research by Author "Furman, Edward"
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Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks
Furman, Edward; Wang, Ruodo; Zitikis, Ricardas (Elsevier, 2017-10-01)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, ...