Extended Gini-Type Measures of Risk and Variability

Mohammed Berkhouch, Ghizlane Lakhnati and Marcelo Righi ()

Applied Mathematical Finance, 2018, vol. 25, issue 3, 295-314

Abstract: The aim of this paper is to introduce a risk measure, Extended Gini Shortfall (EGS), that extends the Gini-type measures of risk and variability by taking risk aversion into consideration. Our risk measure is coherent and catches variability, an important concept for risk management. The analysis is made under the Choquet integral representations framework. We expose results for analytic computation under well-known distribution functions. Furthermore, we provide a practical application.

Date: 2018
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Working Paper: Extended Gini-type measures of risk and variability (2018)
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DOI: 10.1080/1350486X.2018.1538806

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