2 papers
q-fin.RM2019
Spectral risk measures and uncertainty
Mohammed Berkhouch, Ghizlane Lakhnati, Marcelo Brutti Righi
Risk assessment under different possible scenarios is a source of uncertainty that may lead to concerning financial losses. We address this issue, first, by adapting a robust frame…
q-fin.RM2017
Extended Gini-type measures of risk and variability
Mohammed Berkhouch, Ghizlane Lakhnati, Marcelo Brutti Righi
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 consider…