Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks

摘要

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. (C) 2017 Elsevier B.V. All rights reserved.