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:: Volume 18, Issue 2 (2-2025) ::
JSS 2025, 18(2): 0-0 Back to browse issues page
Equivalents of Tail Risk Measures Based on Inequality Indexes in the Economy and Reliability
Roghayeh Ghorbani gholi abad , Gholam reza Mohtashami Borzadaran * , Mohammad Amini , Zahra Behdani
Abstract:   (939 Views)
Abstract: The use of tail risk measures has been noticed in recent decades, especially in the financial and banking industry. The most common ones are value at risk and expected shortfall. The tail Gini risk measure, a composite risk measure, was introduced recently. The primary purpose of this article is to find the relationship between the concepts of economic risks, especially the expected shortfall and the tail Gini risk measure, with the concepts of inequality indices in the economy and reliability. Examining the relationship between these concepts allows the researcher to use the concepts of one to investigate other concepts. As you will see below, the existing mathematical relationships between the tail risk measures and the mentioned indices have been obtained, and these relationships have been calculated for some distributions. Finally, real data from the Iranian Stock Exchange was used to familiarize the concept of this tail risk measure. 
Keywords: Risk measure, Gini Shortfall, Tail- Gini- Functional, Value - at -Risk, Expected Shortfall
Full-Text [PDF 416 kb]   (391 Downloads)    
Type of Study: Applied | Subject: Applied Statistics
Received: 2023/09/25 | Accepted: 2024/05/30 | Published: 2024/12/2
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Ghorbani gholi abad R, Mohtashami Borzadaran G R, Amini M, Behdani Z. Equivalents of Tail Risk Measures Based on Inequality Indexes in the Economy and Reliability. JSS 2025; 18 (2)
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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 18, Issue 2 (2-2025) Back to browse issues page
مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences

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