Related papers: Extended Gini-type measures of risk and variabilit…

This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the…

Via an axiomatic approach, we characterize the family of n-th order Gini deviation, defined as the expected range over n independent draws from a distribution, to quantify joint dispersion across multiple observations. This family extends…

This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our…

This paper proposes RiskRank as a joint measure of cyclical and cross-sectional systemic risk. RiskRank is a general-purpose aggregation operator that concurrently accounts for risk levels for individual entities and their…

Gini index is a widely used measure of economic inequality. This article develops a general theory for constructing a confidence interval for Gini index with a specified confidence coefficient and a specified width. Fixed sample size…

In this paper, we draw attention to a promising yet slightly underestimated measure of variability - the Gini coefficient. We describe two new ways of defining and interpreting this parameter. Using our new representations, we compute the…

Credit ratings are widely used by investors as a screening device. We introduce and study several natural notions of risk consistency that promote prudent investment decisions in the framework of Choquet rating criteria. Three closely…

In this paper, we discuss the worst-case of distortion riskmetrics for general distributions when only partial information (mean and variance) is known. This result is applicable to general class of distortion risk measures and variability…

A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…

We address the problem that classical risk measures may not detect the tail risk adequately. This can occur for instance due to averaging when calculating the Expected Shortfall. The current literature proposes the so-called adjusted…

The Gini index underestimates inequality for heavy-tailed distributions: for example, a Pareto distribution with exponent 1.5 (which has infinite variance) has the same Gini index as any exponential distribution (a mere 0.5). This is…

We study the properties of Expected Shortfall from the point of view of financial risk management. This measure --- which emerges as a natural remedy in some cases where Value at Risk (VaR) is not able to distinguish portfolios which bear…

In this paper, we develop the lower and upper bounds of worst-case distortion riskmetrics and weighted entropy for unimodal, and symmetric unimodal distributions when mean and variance information are available. We also consider the sharp…

This paper studies an optimal insurance contracting problem in which the preferences of the decision maker given by the sum of the expected loss and a convex, increasing function of a deviation measure. As for the deviation measure, our…

Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…

Classical measures of inequality use the mean as the benchmark of economic dispersion. They are not sensitive to inequality at the left tail of the distribution, where it would matter most. This paper presents a new inequality measurement…

Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of available data. If a risk measure is…

We study a general risk measure called the generalized shortfall risk measure, which was first introduced in Mao and Cai (2018). It is proposed under the rank-dependent expected utility framework, or equivalently induced from the cumulative…

The expectile can be considered as a generalization of quantile. While expected shortfall is a quantile based risk measure, we study its counterpart -- the expectile based expected shortfall -- where expectile takes the place of quantile.…

Despite decades of research in risk management, most of the literature has focused on scalar risk measures (like e.g. Value-at-Risk and Expected Shortfall). While such scalar measures provide compact and tractable summaries, they provide a…