On a new Pareto-type distribution with applications in the study of income inequality and risk analysis

José María Sarabia, Vanesa Jordá and Faustino Prieto

Physica A: Statistical Mechanics and its Applications, 2019, vol. 527, issue C

Abstract: A recent paper published in this journal (Bourguignon et al., 2016) introduces and studies a new Pareto-type distribution, deriving some of its probabilistic and inferential properties. In this paper, we obtain additional and important properties of this distribution and derive simpler expressions for relevant inequality indices and risk measures. One important feature of this distribution is that many of these expressions are simple functions of the incomplete beta function. Using this result, we obtain closed expressions for the moments and for several inequality measures including the Gini index and the Lorenz curve, the Donaldson–Weymark–Kakwani index, the Pietra index and the generalized entropy measures. Basic risk measures are also obtained. Finally, empirical applications with real income data are given.

Keywords: Incomplete beta function; Lorenz curve; Gini index; Donaldson–Weymark–Kakwani index; Pietra index; Generalized entropy measures; Value at risk; Tail value at risk (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:527:y:2019:i:c:s0378437119307435

DOI: 10.1016/j.physa.2019.121277

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