Extended Gini-Type Measures of Risk and Variability

Q3 Mathematics

Applied Mathematical Finance Pub Date : 2017-07-23 DOI:10.2139/ssrn.3007948

Mohammed Berkhouch, G. Lakhnati, M. Righi

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.

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扩展基尼型风险和变异性测量

本文的目的是引入一种风险度量，即扩展基尼缺口(EGS)，它通过考虑风险厌恶来扩展基尼类型的风险和可变性度量。我们的风险度量是一致的，并且捕获了可变性，这是风险管理的一个重要概念。在Choquet积分表示框架下进行了分析。我们揭示了在已知分布函数下解析计算的结果。此外，我们还提供了一个实际应用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Applied Mathematical Finance Economics, Econometrics and Finance-Finance

CiteScore

2.30

自引率

0.00%

发文量

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.