Distortion risk measures, ROC curves, and distortion divergence
| Authors | |
|---|---|
| Publication date | 18-10-2017 |
| Number of pages | 21 |
| Publisher | Amsterdam: University of Amsterdam, section Quantitative Economics |
| Organisations |
|
| Abstract | Distortion functions are employed to define measures of risk. Receiver operating characteristic (ROC) curves are used to describe the performance of parametrized test families in testing a simple null hypothesis against a simple alternative. This paper provides a connection between distortion functions on the one hand, and ROC curves on the other. This leads to a new interpretation of some well known classes of distortion risk measures, and to a new notion of divergence between probability measures. |
| Document type | Working paper |
| Language | English |
| Published at | https://doi.org/10.2139/ssrn.2956334 |
| Downloads |
Distortion risk measures
(Submitted manuscript)
|
| Permalink to this page | |
