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Analytical approximation for distorted expectations

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  • Sun, Xianming
  • Gan, Siqing
  • Vanmaele, Michèle

Abstract

Given the density function or the characteristic function of a random variable, we propose an analytical approximation for its distorted expectation by using the fast Fourier transform algorithm. This approach can be used in various applications involving distorted expectations.

Suggested Citation

  • Sun, Xianming & Gan, Siqing & Vanmaele, Michèle, 2015. "Analytical approximation for distorted expectations," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 246-252.
    • Handle: RePEc:eee:stapro:v:107:y:2015:i:c:p:246-252
    DOI: 10.1016/j.spl.2015.09.004
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    References listed on IDEAS

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    Cited by:

    1. Chuang, Ming-Che & Tsai, Jeffrey Tzuhao, 2024. "Determining bid-ask prices for options with stochastic illiquidity and applications to index options," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
    2. Mehri, Ali & Agahi, Hamzeh & Mehri-Dehnavi, Hossein, 2019. "A novel word ranking method based on distorted entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 484-492.
    3. Wen Su & Yunyun Wang, 2021. "Estimating the Gerber-Shiu Function in Lévy Insurance Risk Model by Fourier-Cosine Series Expansion," Mathematics, MDPI, vol. 9(12), pages 1-18, June.

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