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...

Determining aggregate risk capital has become a fundamental problem in modern Enterprise Risk Management, and the determination process has been fairly well studied. The consequent exercise of allocating the aggregate risk capital to constituents has also been given high priority in, e.g., both...

One way to formulate a multivariate probability distribution with dependent univariate margins distributed gamma is by using the closure under convolutions property. This direction yields an additive background risk model, and it has been very well-studied. An alternative way to accomplish the...