Analytical approximation for distorted expectations

Xianming Sun, Siqing Gan and Michèle Vanmaele

Statistics & Probability Letters, 2015, vol. 107, issue C, 246-252

Abstract: Given the density function or the characteristic function of a random variable, we propose an analytical approximation for its distorted expectation by using the fast Fourier transform algorithm. This approach can be used in various applications involving distorted expectations.

Keywords: Distorted expectations; Fourier-cosine series expansion; Coherent risk measure (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2015.09.004

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