An alternative class of distortion operators alternative tools to generate asymmetrical multimodal distributions

Dominique Guegan (), Bertrand Hassani () and Kehan Li ()
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Dominique Guegan: Centre d'Economie de la Sorbonne and LabEx ReFi, https://cv.archives-ouvertes.fr/dominique-guegan
Bertrand Hassani: Grupo Santander and Centre d'Economie de la Sorbonne and LabEx ReFi
Kehan Li: Centre d'Economie de la Sorbonne and LabEx ReFi

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: 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

Keywords: Distortion operator; Multimodal distributions; Asymmetry; Invertibility (search for similar items in EconPapers)
JEL-codes: C20 G32 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2017-06
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:17030

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