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Extended Gini-type measures of risk and variability

Mohammed Berkhouch, Ghizlane Lakhnati and Marcelo Brutti Righi

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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.

New Economics Papers: this item is included in nep-rmg
Date: 2017-07, Revised 2018-03
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Handle: RePEc:arx:papers:1707.07322