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Ordering Gini indexes of multivariate elliptical risks

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  • Samanthi, Ranadeera Gamage Madhuka
  • Wei, Wei
  • Brazauskas, Vytaras

Abstract

Gini index is a well-known tool in economics that is often used for measuring income inequality. In insurance, the index and its modifications have been used to compare the riskiness of portfolios, to order reinsurance contracts, and to summarize insurance scores (relativities). In this paper, we establish several stochastic orders between the Gini indexes of multivariate elliptical risks with the same marginals but different dependence structures. This work is motivated by the applied studies of Brazauskas et al. (2007) and Samanthi et al. (2015), who employed the Gini index to compare the riskiness of insurance portfolios. Based on extensive Monte Carlo simulations, these authors have found that the power function of the associated hypothesis test increases as portfolios become more positively correlated. The comparison of the Gini indexes (of empirically estimated risk measures) presented in this paper provides a theoretical explanation to this statistical phenomenon. Moreover, it enriches the studies of the problem of central concentration of elliptical distributions and generalizes the pd-1 order proposed by Shaked and Tong (1985).

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  • Samanthi, Ranadeera Gamage Madhuka & Wei, Wei & Brazauskas, Vytaras, 2016. "Ordering Gini indexes of multivariate elliptical risks," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 84-91.
    • Handle: RePEc:eee:insuma:v:68:y:2016:i:c:p:84-91
    DOI: 10.1016/j.insmatheco.2016.03.005
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    References listed on IDEAS

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    Cited by:

    1. Kim, Bara & Kim, Jeongsim, 2019. "Stochastic ordering of Gini indexes for multivariate elliptical risks," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 151-158.
    2. Barry C. Arnold & José María Sarabia, 2018. "Analytic Expressions for Multivariate Lorenz Surfaces," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 80(1), pages 84-111, December.
    3. Chuancun Yin, 2019. "Stochastic ordering of Gini indexes for multivariate elliptical random variables," Papers 1908.01943, arXiv.org, revised Sep 2019.

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