Extreme Behaviors of the Tail Gini-Type Variability Measures

Abstract

For a bivariate random vector $(X, Y)$ , suppose $X$ is some interesting loss variable and $Y$ is a benchmark variable. This paper proposes a new variability measure called the joint tail-Gini functional, which considers not only the tail event of benchmark variable $Y$ , but also the tail information of $X$ itself. It can be viewed as a class of tail Gini-type variability measures, which also include the recently proposed tail-Gini functional. It is a challenging and interesting task to measure the tail variability of $X$ under some extreme scenarios of the variables by extending the Gini's methodology, and the two tail variability measures can serve such a purpose. We study the asymptotic behaviors of these tail Gini-type variability measures, including tail-Gini and joint tail-Gini functionals. The paper conducts this study under both tail dependent and tail independent cases, which are modeled by copulas with so-called tail order property. Some examples are also shown to illuminate our results. In particular, a generalization of the joint tail-Gini functional is considered to provide a more flexible version.