Extended Gini-type measures of risk and variability

Mohammed Berkhouch, Ghizlane Lakhnati and Marcelo Righi ()

Papers from arXiv.org

Abstract: The aim of this paper is to introduce a risk measure that extends the Gini-type measures of risk and variability, the Extended Gini Shortfall, 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: 2017-07, Revised 2018-03
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1707.07322

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