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Distortion risk measures, ROC curves, and distortion divergence

Schumacher, JM

Schumacher, JM (reprint author), Univ Amsterdam, Sect Quantitat Econ, Fac Econ & Business, Roetersstr 11, Amsterdam, Netherlands.

STATISTICS & RISK MODELING, 2018; 35 (1-2): 35

Abstract

Distortion functions are employed to define measures of risk. Receiver operating characteristic (ROC) curves are used to describe the performance of p......

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