Distortion risk measures, ROC curves, and distortion divergence
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| Publication date | 01-2018 |
| Journal | Statistics & Risk Modeling |
| Volume | Issue number | 35 | 1-2 |
| Pages (from-to) | 35-50 |
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| 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 | Article |
| Note | © 2017 Walter de Gruyter GmbH, Berlin/Boston. |
| Language | English |
| Published at | https://doi.org/10.1515/strm-2017-0012 |
| Published at | https://ssrn.com/abstract=2956334 |
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[Statistics amp Risk Modeling] Distortion risk measures ROC curves and distortion divergence
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