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

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dc.contributor.authorFurman, Edward
dc.contributor.authorWang, Ruodo
dc.contributor.authorZitikis, Ricardas
dc.date.accessioned2017-12-19T19:48:29Z
dc.date.available2017-12-19T19:48:29Z
dc.date.issued2017-10-01
dc.descriptionThe 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.abstractWe 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.sponsorshipNatural 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.identifier.urihttps://doi.org/10.1016/j.jbankfin.2017.06.013
dc.identifier.urihttp://hdl.handle.net/10012/12760
dc.language.isoenen
dc.publisherElsevieren
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectChoquet integralen
dc.subjectGini capital allocationen
dc.subjectGini shortfallen
dc.subjectRisk measureen
dc.subjectVariability measureen
dc.titleGini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risksen
dc.typeArticleen
dcterms.bibliographicCitationFurman, 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.2017.06.013en
uws.contributor.affiliation1Faculty of Mathematicsen
uws.contributor.affiliation2Statistics and Actuarial Scienceen
uws.peerReviewStatusRevieweden
uws.scholarLevelFacultyen
uws.typeOfResourceTexten

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