Di Crescenzo and Longobardi
[Di Crescenzo and Longobardi, On cumulative entropies,
J. Statist. Plann. Inference 139 2009, 12, 4072–4087]
proposed the cumulative entropy (CE) as an alternative to the differential entropy. They presented an estimator of CE using empirical approach. 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.