Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5088041 | Journal of Banking & Finance | 2017 | 41 Pages |
Abstract
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
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Edward Furman, Ruodu Wang, RiÄardas Zitikis,