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Extended Gini-type measures of risk and variability

Mohammed Berkhouch and Ghizlane Lakhnati

MPRA Paper from University Library of Munich, Germany

Abstract: The main of this paper is to introduce a family of risk measures which generalizes the Gini-type measures of risk and variability, by taking into consideration the psychological behavior. Our risk measures family is coherent and catches variability with respect to the decision-maker attitude towards risk.

Keywords: risk measure; variability measure; risk aversion; signed Choquet integral; Extended Gini Shortfall (search for similar items in EconPapers)
JEL-codes: C6 G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-upt
Date: 2017-07-22
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