Randentropy: A Software to Measure Inequality in Random Systems

D’Amico, Guglielmo; Scocchera, Stefania; Storchi, Loriano

doi:10.15388/22-INFOR479

Informatica

Randentropy: A Software to Measure Inequality in Random Systems

Volume 33, Issue 2 (2022), pp. 279–298

Guglielmo D’Amico Stefania Scocchera Loriano Storchi

https://doi.org/10.15388/22-INFOR479

Pub. online: 22 March 2022 Type: Research Article

Open Access

Received
1 March 2021

Accepted
1 March 2022

Published
22 March 2022

Abstract

The software Randentropy is designed to estimate inequality in a random system where several individuals interact moving among many communities and producing dependent random quantities of an attribute. The overall inequality is assessed by computing the Random Theil’s Entropy. Firstly, the software estimates a piecewise homogeneous Markov chain by identifying the change-points and the relative transition probability matrices. Secondly, it estimates the multivariate distribution function of the attribute using a copula function approach and finally, through a Monte Carlo algorithm, evaluates the expected value of the Random Theil’s Entropy. Possible applications are discussed as related to the fields of finance and human mobility.

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Biographies

D’Amico Guglielmo

g.damico@unich.it

G. D’Amico is a full professor of mathematical methods in economics, finance and insurance at the Department of Economics of the “G. D’Annunzio” University of Chieti-Pescara. He received his PhD in mathematics for applications in economics, finance and insurance from the University “La Sapienza” of Rome in May 2005. His research interests include the theory of stochastic processes and their applications in finance, insurance, economics, reliability and wind energy. He is interested also in nonparametric statistical inference for stochastic processes. His research has appeared in several refereed journals such as European Journal of Operational Research, Applied Mathematical Finance, Scandinavian Actuarial Journal, Applied Mathematical Modelling, IMA Journal of Management Mathematics, Journal of the Operational Research Society, Reliability Engineering and System Safety, Stochastics, Insurance: Mathematics and Economics. He has published a book with John Wiley and Sons.

Scocchera Stefania

S. Scocchera works in the Credit Risk Model office at Banco BPM SPA, dealing with projects concerning the Credit Portfolio Model, the inclusion of the climate risk (ESG) within risk parameters and satellite models. She received her PhD in accounting, management and finance with specialization in mathematical finance from the “G. D’Annunzio” University of Chieti-Pescara in May 2019.

Storchi Loriano

loriano@storchi.org

L. Storchi is an associate professor and after more than 15 years of research activity he has acquired wide competences in several programming languages, numerical methods and data modelling. His multidisciplinary background is reflected both in the list of his scientific interests, as well as in the diversity of his publications.

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Keywords

random entropy Markov reward model copula change-point

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