Extended Gini-type measures of risk and variability
Ghizlane Lakhnati and
Marcelo Brutti Righi
Papers from arXiv.org
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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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1707.07322
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