José María Sarabia
José Maria Sarabia is a Full Professor of Statistics and Operations Research and Full Professor of Quantitative Methods in CUNEF Universidad, Madrid Spain. He is a Member of the Royal Academy of Economic and Financial Sciences RACEF, 2018. He has published more than 190 research articles in scientific journals, including Journal of Econometrics, Journal of the American Statistical Association, Statistical Science, Insurance Mathematics and Economics, Journal of Risk and Insurance, Social Choice and Welfare, Journal of Economic Inequality, Econometric Reviews, Journal of Multivariate Analysis. He is the Editor in Chief of the Spanish Journal of Statistics (INE) and is Associate Editor in several journals. He received the Julio Castelo Matrán/Fundación Mapfre International Research Award in 2008. He has been visiting professor at the LSE, Imperial College and at the ICMA University of Reading, UK.
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This paper reports a method for analyzing the influence of the tail in calculations of distortion risk measures.
In this paper, the authors obtain analytic expressions of different actuarial and statistical quantities for a general class of composite models derived from the McDonald’s family of probability distributions.
In this paper, the authors present a way to address multivariate distortion risk measures and give some examples of distortion functions and distributions where the final expression has a closed form.