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How to calculate the distortion function for CVaR?
Accepted answer
2 votes

I have solved it myself. The key was to realize that for $X \geq 0$ and $S_X(t) = \mathbb{P}(X>t)$ $$ \int_0^\infty S(t) dt = \int_0^1 F_X^{-1}(u) du = \mathbb{E}\left[X \right].$$ This is ...

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Spectral and distortion risk measures
1 votes

There is actually a proof by Gzyl and Mayoral that relates certain distortion risk measures, namely the coherent ones to spectral risk measures. See Spectral and Distortion Risk for details. So yes ...

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