Gini-type measures of risk and variability
WebMar 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 … 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 …
Gini-type measures of risk and variability
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WebJul 23, 2024 · The aim of this paper is to introduce a risk measure that extends the Gini-type measures of risk and variability, the Extended Gini Shortfall, by taking risk aversion into consideration. Our risk measure is coherent and catches variability, an important concept for risk management. The analysis is made under the Choquet integral … WebApr 27, 2024 · Abstract: The aim of this paper is to introduce a class of spectral risk measures that extends the Gini-type measure of risk and variability, by taking risk …
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 … WebOct 8, 2024 · Gini Index. The Gini Index is a summary measure of income inequality. The Gini coefficient incorporates the detailed shares data into a single statistic, which …
WebGini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks Edward Furman Department of Mathematics and Statistics, York … WebJan 28, 2024 · The paper is organized as follows. The Box–Cox Tail Gini Variability measure is defined in Sect. 2 and some elementary properties are established. Section 3 then focuses on the tail properties (as \(\alpha \rightarrow 0\)) at the population level. The estimation of the extreme Box–Cox Tail Gini Variability measure is discussed in Sect. 4.
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 …
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. update on dog the bounty hunterWebOct 1, 2024 · 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 … update on dowen collegeWebJul 23, 2024 · Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks Edward Furman, Ruodu Wang, R. Zitikis Economics … recycle center bloomington mnWebvariability so that the resulting risk measures would be well de ned for risks with in nite variances, monotone, and co-monotonically additive. These requirements naturally lead us to Gini-type measures of risk and variability, that we introduce and discuss below, thus providing an informative complement to the classical risk assessment based ... update on edwin diazWebWe introduce and explore Gini-type measures of risk and variability, and develop the corresponding economic capital allocation rules. The new measures are coherent, … recycle center big rapids miWebthe 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, update on dwp pension backlogWebJul 23, 2024 · The 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. (2024), Berkhouch et al ... update on earth alliance