Distortion risk measures, ROC curves, and distortion divergence
Statistics & Risk Modeling, 2018, vol. 35, issue 1-2, 35-50
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.
Keywords: Risk measures; hypothesis testing; receiver operating characteristic; divergence; 62P05; 60B10 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://www.degruyter.com/view/j/strm.2018.35.issu ... -0012.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:35-50:n:3
Ordering information: This journal article can be ordered from
Access Statistics for this article
Statistics & Risk Modeling is currently edited by Robert Stelzer
More articles in Statistics & Risk Modeling from De Gruyter
Bibliographic data for series maintained by Peter Golla ().