Gini Shortfall: A Coherent Risk Measure

Dr. Ricardas Zitikis
Western University
Professor of Statistical and Actuarial Sciences

“For quite some time, the value-at-risk (VaR) was an appealing risk measure, and even an industry and regulatory standard for calculating risk capital in banking and insurance. The VaR is still a standard, though criticized in many theoretical and empirical works. In this context, the expected shortfall (ES) has been a remarkable innovation that rewards diversification and captures the magnitude of tail risk. But what about tail variability? The coherent risk measure, called the Gini shortfall (GS), takes care of both the magnitude and the variability of tail risk, thus providing a much-needed missing piece in the encompassing risk-measurement puzzle. In this talk, we shall discuss various aspects of the GS, including its origins, properties, and statistical inference.”
(Joint work with Edward Furman, York University, and Ruodu Wang, University of Waterloo.)