Notes on Cumulative Entropy as a Risk Measure

Tahmasebi Saeid () and Parsa Hojat ()
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Tahmasebi Saeid: Department of Statistics, Persian Gulf University, Bushehr, Iran
Parsa Hojat: Department of Economics, Persian Gulf University, Bushehr, Iran

Stochastics and Quality Control, 2019, vol. 34, issue 1, 1-7

Abstract: Di Crescenzo and Longobardi [Di Crescenzo and Longobardi, On cumulative entropies, J. Statist. Plann. Inference 139 2009, 12, 4072–4087] proposed the cumulative entropy (CE) as an alternative to the differential entropy. They presented an estimator of CE using empirical approach. In this paper, we consider a risk measure based on CE and compare it with the standard deviation and the Gini mean difference for some distributions. We also make empirical comparisons of these measures using samples from stock market in members of the Organization for Economic Co-operation and Development (OECD) countries.

Keywords: Cumulative Entropy; Past Lifetime; Risk Measure; OECD Countries (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1515/eqc-2018-0019

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