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From Wikipedia, the free encyclopedia
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
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