Extended Gini-type measures of risk and variability

dc.contributor.author	Berkhouch, Mohammed	pt_BR
dc.contributor.author	Lakhnati, Ghizlane	pt_BR
dc.contributor.author	Righi, Marcelo Brutti	pt_BR
dc.date.accessioned	2019-01-18T02:31:41Z	pt_BR
dc.date.issued	2018	pt_BR
dc.identifier.issn	1350-486X	pt_BR
dc.identifier.uri	http://hdl.handle.net/10183/187907	pt_BR
dc.description.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.	en
dc.format.mimetype	application/pdf	pt_BR
dc.language.iso	eng	pt_BR
dc.relation.ispartof	Applied mathematical finance [recurso eletrônico]. Oxford, Reino Unido : Taylor & Francis Online, 2018. Vol. 25, no. 3 (2018), p. 295-314	pt_BR
dc.rights	Open Access	en
dc.subject	Risk measures	en
dc.subject	Risco financeiro	pt_BR
dc.subject	Variability measures	en
dc.subject	Medidas de variabilidade	pt_BR
dc.subject	Risk aversion	en
dc.subject	Signed choquet integral	en
dc.subject	Extended Gini shortfall	en
dc.title	Extended Gini-type measures of risk and variability	pt_BR
dc.type	Artigo de periódico	pt_BR
dc.identifier.nrb	001083837	pt_BR
dc.type.origin	Estrangeiro	pt_BR

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