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Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks

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  • Furman, Edward
  • Wang, Ruodu
  • Zitikis, Ričardas

Abstract

We introduce and explore Gini-type measures of risk and variability, and develop the corresponding economic capital allocation rules. The new measures are coherent, additive for co-monotonic risks, convenient computationally, and require only finiteness of the mean. To elucidate our theoretical considerations, we derive closed-form expressions for several parametric families of distributions that are of interest in insurance and finance, and further apply our findings to a risk portfolio of a bancassurance company.

Suggested Citation

  • Furman, Edward & Wang, Ruodu & Zitikis, Ričardas, 2017. "Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 70-84.
    • Handle: RePEc:eee:jbfina:v:83:y:2017:i:c:p:70-84
    DOI: 10.1016/j.jbankfin.2017.06.013
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    More about this item

    Keywords

    Risk measure; Variability measure; Gini shortfall; Gini capital allocation; Choquet integral;
    All these keywords.

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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