Gini-type measures of risk and variability
WebKeywords: risk measures; deviation measures; distributionally robust optimization; convexifi-cation; conditional expectation 1 Introduction Riskmetrics, such as measures of risk and variability, are common tools to represent preferences, modeldecisions underrisks, and quantifydifferent typesof risks. To fixterms, we refer to riskmetrics
Gini-type measures of risk and variability
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WebDOI: 10.2139/ssrn.2836281 Corpus ID: 54207880; Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks @article{Furman2016GiniTypeMO, title={Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks}, author={Edward Furman … WebThe GINI index, also known as the GINI coefficient, is a measure of income inequality. It represents the spread between low and high-income earners, with possible values …
Webthe Gini-type measures of risk and variability, by taking into consideration the psychological behavior. Our risk measures family is coherent and catches variability with respect to the decision-maker attitude towards risk. JEL classi cation: C6, G10 Keywords: risk measure, variability measure, risk aversion, signed Choquet integral, WebSep 7, 2016 · We introduce and explore Gini-type measures of risk and variability, and develop the corresponding economic capital allocation rules. The new measures are …
WebGini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks (by Edward Furman, Ruodu Wang, Ricardas Zitikis) ⤓: The Gini Shortfall (GS) is introduced and its theoretical properties and applications are explored. For suitable values of its parameters, GS is a coherent risk measure which is a ... WebDownloadable (with restrictions)! The ranking of insurance risks with respect to their right tail is a challenging problem. In this paper, we extend the actuarial index introduced by Wang (1998) and propose its sensitivity index based on Leser’s perturbation analysis on a proportional hazards model. We use tail variability measures by conditioning the risk …
WebAug 5, 2024 · Gini Index: The Gini index or Gini coefficient is a statistical measure of distribution developed by the Italian statistician Corrado Gini in 1912. It is often used as …
Web"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. Marcelo Brutti Righi, 2024. "A composition between risk and deviation measures," Annals of Operations Research, Springer, vol. 282(1), pages 299-313, November. pink bird wallpaperWebThe tail Gini-type variability measures play an important role in tail risk and variability theory which has been presented in the recent literature, see Furman et al. [Reference Furman, Wang and Zitikis 11], Berkhouch et al. [Reference Berkhouch, Lakhnati and Righi 2] and Hou and Wang [Reference Hou and Wang 13]. The joint tail-Gini functional ... pink birthday backgroundWebMar 1, 2024 · 5. Concluding remarks. In this paper, the optimal insurance design problem is considered in the sense of Pareto optimality. Unlike existing studies, we solved a characterization problem of the risk measures of the insured and the insurer given the form of the Pareto-optimal contracts, and thus this paper is in an opposite direction to the vast … pink birthday balloons imagesWebJun 25, 2024 · We introduce and explore Gini-type measures of risk and variability , and develop the corresponding economic capital allocation rules. The new measures are … pink birthday cakes for womenWebWe introduce and explore Gini-type measures of risk and variability, and develop the corresponding economic capital allocation rules. The new measures are coherent, … pink birthday cupcake clipartWebJan 27, 2024 · Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks. Journal of Banking and Finance, 83, 70–84. Article Google Scholar Gini, C. (1921). Measurement of inequality of incomes. The Economic Journal, 31(121), 124–126. Article Google ... pink birthday cake picturesWebJan 1, 2016 · Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks January 2016 Authors: Edward Furman York … pink birthday cake dangle charm