Notes on Cumulative Entropy as a Risk Measure, By Hojat Parsa

Research

Title	Notes on Cumulative Entropy as a Risk Measure
Type	Article
Keywords	Cumulative Entropy, Past Lifetime, Risk Measure, OECD Countries
Journal	Stochastics and Quality Control
DOI	https://doi.org/10.1515/eqc-2018-0019
Researchers	Saeid Tahmasebi (First researcher) , Hojat Parsa (Second researcher)

Abstract

In this paper, we consider a risk measure based on CE and compare it with the standard deviation and the Gini mean difference for some distributions. We also make empirical comparisons of these measures using samples from stock market in members of the Organization for Economic Co-operation and Development (OECD) countries