Extended Gini-type measures of risk and variability
Risk Management
2018-03-21 v2 General Finance
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.
Keywords
Cite
@article{arxiv.1707.07322,
title = {Extended Gini-type measures of risk and variability},
author = {Mohammed Berkhouch and Ghizlane Lakhnati and Marcelo Brutti Righi},
journal= {arXiv preprint arXiv:1707.07322},
year = {2018}
}
Comments
This is a working paper consisting of 20 pages