  The aim of this paper is to introduce a risk measure that extends the
Gini-type measures of risk and variability, the Extended Gini Shortfall, by
taking risk aversion into consideration. Our risk measure is coherent and
catches variability, an important concept for risk management. The analysis is
made under the Choquet integral representations framework. We expose results
for analytic computation under well-known distribution functions. Furthermore,
we provide a practical application.
