José María Sarabia
José María Sarabia, PhD, is Professor of Statistics and Quantitative Methods in Business and Economics in the Department of Economics at the University of Cantabria, Spain. His research interests include: Risk Analysis and Actuarial Statistics, Economic Inequality, Multivariate Analysis, Theory of statistical Distributions and Extreme value theory. He is author or coauthor of twelve books, editor of four books and he has published more than one hundred and fifty research papers in scientific journals including Journal of Econometrics, Econometric Reviews, Insurance Mathematics and Economics, Journal of Risk and Insurance, ASTIN Bulletin, Journal of the American Statistical Association, Computational Statistics and Data Analysis, Journal of Multivariate Analysis, Physica A, etc. Also, he has participated in a great deal of professional courses and conferences. He is an associate editor of several journals including TEST, Communications in Statistics, and Journal of Statistical Distributions and Applications.
Follow José María
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.