- Author
- Date
- 18-10-2017
- Title
- Distortion risk measures, ROC curves, and distortion divergence
- Number of pages
- 21
- Publisher
- Amsterdam: University of Amsterdam, section Quantitative Economics
- Document type
- Working paper
- Faculty
- Faculty of Economics and Business (FEB)
- Institute
- Amsterdam School of Economics Research Institute (ASE-RI)
- 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.
- URL
- go to publisher's site
- Language
- English
- Persistent Identifier
- https://hdl.handle.net/11245.1/cb6c3f41-d1dc-4bc8-81e1-efd831e30dcf
- Downloads
-
Distortion risk measures(Submitted manuscript)
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