Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks
32 Pages Posted: 11 Sep 2016
Date Written: September 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 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.
Keywords: risk measure, variability measure, Gini shortfall, Gini capital allocation, Choquet integral.
JEL Classification: C6, G10
Suggested Citation: Suggested Citation