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When Is the Gini Loading More Prudent? Tail Structure and the Ordering of the Standard Deviation and the Gini Mean Difference
The standard deviation (SD) and the Gini mean difference (GMD) are the two canonical measures of variability used to load premiums, set risk margins and allocate capital, yet no universal ordering between them exists. We show that the comparison is \emph{equivalent} to asking whether the coefficient
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