This paper introduces a new class of generalized beta-generated distributions that have very flexible shapes and tractable properties. Their quantiles and moments have a simple closed form and they are maximum entropy distributions under three simple conditions. Two special cases are the...

We quantify and endogenize the model risk associated with quantile estimates using a maximum entropy distribution (MED) as benchmark. Moment-based MEDs cannot have heavy tails, however generalized beta generated distributions have attractive properties for popular applications of quantiles....