Expand description
Distortion risk measures: ρ(X) = ∫ g(S(x)) dx for a concave
distortion g of the survival function, with g(0) = 0, g(1) = 1.
On a discrete distribution the integral is a weighted sum of its
values: the value x_k gets weight g(P(X >= x_k)) - g(P(X > x_k)).
The weights depend only on ranks, which is what lets capital
allocation reuse them on a joint distribution (see
docs/design/risk.md).
Enums§
- Distortion
- A distortion of the survival function. Every variant is concave, so every measure here is coherent.