{"title":"Extended Gini-Type Measures of Risk and Variability","authors":"Mohammed Berkhouch, G. Lakhnati, M. Righi","doi":"10.2139/ssrn.3007948","DOIUrl":null,"url":null,"abstract":"ABSTRACT The aim of this paper is to introduce a risk measure, Extended Gini Shortfall (EGS), that extends the Gini-type measures of risk and variability 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 representations framework. We expose results for analytic computation under well-known distribution functions. Furthermore, we provide a practical application.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2017-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"14","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Mathematical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3007948","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Mathematics","Score":null,"Total":0}
引用次数: 14
Abstract
ABSTRACT The aim of this paper is to introduce a risk measure, Extended Gini Shortfall (EGS), that extends the Gini-type measures of risk and variability 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 representations framework. We expose results for analytic computation under well-known distribution functions. Furthermore, we provide a practical application.
期刊介绍：
The journal encourages the confident use of applied mathematics and mathematical modelling in finance. The journal publishes papers on the following: •modelling of financial and economic primitives (interest rates, asset prices etc); •modelling market behaviour; •modelling market imperfections; •pricing of financial derivative securities; •hedging strategies; •numerical methods; •financial engineering.
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