Distortion_function
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]
This article may be too technical for most readers to understand. (November 2021) |
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