An alternative class of distortion operators
Résumé
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.
Domaines
Economies et finances
Origine : Fichiers produits par l'(les) auteur(s)
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