An alternative class of distortion operators

Dominique Guegan (1, 2) , Bertrand Hassani (1, 2) , Kehan Li (1, 2)

1 CES - Centre d'économie de la Sorbonne
2 Labex ReFi

The distortion operator proposed by Wang (2000) has been developed in the actuarial literature and that are now part of the risk measurement tools inventory available for practitioners in finance and insurance. In this article, we propose an alternative class of distortion operators with explicit analytical inverse mapping. The distortion operators are based on tangent function allowing to transform a symmetrical unimodal distribution to an asymmetrical multimodal distribution.

Mots clés: Distortion operator; Multimodal distribution; Asymmetry; Invertibility

Domaines: Economies et finances

Dominique Guegan, Bertrand Hassani, Kehan Li. An alternative class of distortion operators : alternative tools to generate asymmetrical multimodal distributions. 2017. ⟨halshs-01543251⟩