José María Sarabia

University of Cantabria - Department of Economics

Av. Los Castros s/n

39005 - Santander (Cantabria), Cantabria 39005

Spain

  • University of Cantabria - Department of Economics

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Scholarly Papers (4)

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1.

Value-at-Risk Model Risk

Number of pages: 24 Posted: 09 Feb 2011
Carol Alexander and José María Sarabia
University of Sussex Business School and University of Cantabria - Department of Economics
Downloads 797 (35,641)

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Basel II, Maximum entropy, Model risk, Quantile, Risk capital, Value-at-Risk, VaR

2.

Generalized Beta-Generated Distributions

University of Reading ICMA Centre Finance Discussion Paper No. DP2010-09
Number of pages: 30 Posted: 29 Jul 2010 Last Revised: 11 Feb 2011
Carol Alexander, Gauss Cordeiro, Edwin Ortega and José María Sarabia
University of Sussex Business School, Universidade Federal de Pernambuco (UFPE) - Departmento de Estatistica, University of São Paulo (USP) and University of Cantabria - Department of Economics
Downloads 231 (154,516)
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Beta, Distribution, Entropy, Estimation, Exponentiated, Gamma, Generalized,Generated, Gumbel, Inverse Guassian, Kumaraswamy, Kurtosis, Laplace, McDonald, Minimax, MLE, MGF, Reliability, Skewness, Weibull

3.

A Class of Conjugate Priors for Log-Normal Claims Based on Conditional Specification

Journal of Risk and Insurance, Vol. 72, No. 3, pp. 479-495, September 2005
Number of pages: 17 Posted: 31 Aug 2005
José María Sarabia, Enrique Castillo, Emilio Gomez Deniz and Francisco J. Vázquez-Polo
University of Cantabria - Department of Economics, University of Cantabria - Department of Applied Mathematics and Computational Sciences, University of Las Palmas de Gran Canaria - Department of Quantitative Methods in Economics and University of Las Palmas de Gran Canaria - Department of Quantitative Methods in Economics
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4.

The Theil Indices in Parametric Families of Income Distributions—A Short Review

Review of Income and Wealth, Vol. 63, Issue 4, pp. 867-880, 2017
Number of pages: 14 Posted: 05 Dec 2017
José María Sarabia, Vanesa Jordá and Lorena Remuzgo
University of Cantabria - Department of Economics, University of Cantabria and University of Cantabria
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Champernowne distribution, generalized gamma distribution, generalized beta distributions, κ‐generalized income distribution