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