國立政治大學統計學系
學 術 演 講
主講人：Prof. Jungsywan H. Sepanski黃鐘璇教授(Department of Statistics,
學 術 演 講
Actuarial and Data Sciences, Central Michigan University)
題 目：New Distortions and Distortion of Copulas and Risk Measures時 間：民國112年4月17日 (星期一) 下午1：30
地 點：國立政治大學逸仙樓050101教室
摘 要：
This talk presents a method to form new distortions and how distortions can be employed to construct families of bivariate copulas and risk measures. A distortion function is a non-decreasing mapping of the unit interval onto itself. The proposed method stems from its likeness to a cumulative distribution function of a random variable with support on the unit interval. We next show how distortions are applied to transform existing bivariate copulas and risk measures to produce new ones. Admissible conditions for establishing new copulas and coherent risk measures on distortion are derived. Illustrating examples are given.
