The main of this paper is to introduce a family of risk measures which generalizes the Gini-type measures of risk and variability, by taking into consideration the psychological behavior . Our risk measures family is coherent and catches variability with respect to the decision-maker attitude towards risk .
The aim of this paper is to introduce a risk measure that extends the Gini-type measures of risk and variability, the Extended Gini Shortfall, 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 .
R
main
aim
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family of risk measures which generalizes
risk measure that extends
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by taking into consideration the psychological behavior
the Extended Gini Shortfall, by taking risk aversion into consideration
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measures family
measure
R
with respect to the decision-maker attitude towards risk
, 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