Journal of Banking & Finance Vol. 83 2017
Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks
open access
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.
- DOI
- 10.1016/j.jbankfin.2017.06.013
- Volume
- 83
- Pages
- 70-84
- Language
- en
- Sources
- bibtex:phds-export.bib crossref openalex