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Distortion function

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Source updated October 14, 2025

A distortion function in mathematics and statistics, for example, $g:[0,1]\to [0,1]$ , is a non-decreasing function such that $g(0)=0$ and $g(1)=1$ . The dual distortion function is ${\tilde {g}}(x)=1-g(1-x)$ . Distortion functions are used to define distortion risk measures.

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This article is adapted from the Wikipedia article “Distortion function”, written by its contributors and licensed under CC BY-SA 4.0. Fathomly has changed the layout, removed citation markers, navigation and maintenance notices, and adjusted punctuation. This adapted version is shared under the same license. For references, see the original article.

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