Distortion function

A distortion function $g: [0,1] \to [0,1]$ is a non-decreasing function such that $g(0) = 0$ and $g(1) = 1$ . The dual distortion function is $\tilde{g}(x) = 1 - g(1-x)$ . Distortion functions are used to define distortion risk measures.

Given a probability space $(\Omega,\mathcal{F},\mathbb{P})$ , then for any random variable $X$ and any distortion function $g$ we can define a new probability measure $\mathbb{Q}$ such that for any $A \in \mathcal{F}$ it follows that

单词	Distortion function
释义	Distortion function 英语百科 Distortion function A distortion function $g: [0,1] \to [0,1]$ is a non-decreasing function such that $g(0) = 0$ and $g(1) = 1$ . The dual distortion function is $\tilde{g}(x) = 1 - g(1-x)$ . Distortion functions are used to define distortion risk measures. Given a probability space $(\Omega,\mathcal{F},\mathbb{P})$ , then for any random variable $X$ and any distortion function $g$ we can define a new probability measure $\mathbb{Q}$ such that for any $A \in \mathcal{F}$ it follows that
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