![]() | This article may be too technical for most readers to understand.(November 2021) |
A distortion function in mathematics and statistics, for example, , is a non-decreasing function such that and . The dual distortion function is . [1] [2] Distortion functions are used to define distortion risk measures. [2]
Given a probability space , then for any random variable and any distortion function we can define a new probability measure such that for any it follows that
![]() | This article may be too technical for most readers to understand.(November 2021) |
A distortion function in mathematics and statistics, for example, , is a non-decreasing function such that and . The dual distortion function is . [1] [2] Distortion functions are used to define distortion risk measures. [2]
Given a probability space , then for any random variable and any distortion function we can define a new probability measure such that for any it follows that