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Showing 1 to 2 of 2 for “"Gini Mean Difference"”.
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Economic Capital Analysis with Portfolios of Dependent and Heavy-Tailed Risks
… to an alternative measure of variability. The Gini Mean Difference, which we study in the third chapter, is finite whenever the mean is so, and it is suitable for measuring variability for non-normal risks. Nevertheless, Gini Mean Difference is by far less common in actuarial science than the …
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Memory Properties Of Transformations Of Linear Processes And Symmetric Gini Correlation
… processes or random variables. Standard Gini correlation is one of the correlations to measure the dependence between random variables with heavy tailed distributions. However, the asymmetry of Gini covariance and correlation brings a substantial difficulty in interpretation. In this …