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Higher-order Gini indices: An axiomatic approach

Published: August 14, 2025 | arXiv ID: 2508.10663v2

By: Xia Han, Ruodu Wang, Qinyu Wu

Potential Business Impact:

Measures wealth gaps more accurately.

Via an axiomatic approach, we characterize the family of n-th order Gini deviation, defined as the expected range over n independent draws from a distribution, to quantify joint dispersion across multiple observations. This family extends the classical Gini deviation, which relies solely on pairwise comparisons. The normalized version is called a high-order Gini coefficient. The generalized indices grow increasingly sensitive to tail inequality as n increases, offering a more nuanced view of distributional extremes. The higher-order Gini deviations admit a Choquet integral representation, inheriting the desirable properties of coherent deviation measures. Furthermore, we show that both the n-th order Gini deviation and the n-th order Gini coefficient are statistically n-observation elicitable, allowing for direct computation through empirical risk minimization. Data analysis using World Inequality Database data reveals that higher-order Gini coefficients capture disparities that the classical Gini coefficient may fail to reflect, particularly in cases of extreme income or wealth concentration.

Country of Origin
🇨🇦 Canada

Page Count
34 pages

Category
Quantitative Finance:
Mathematical Finance