1 论文标题
Analytical approximation for distorted expectations
2 作者信息
Xianming Sun, Siqing Gan, Michèle Vanmaele
3 出处和链接 Statistics & Probability Letters
107:246-252
http://www.sciencedirect.com/science/article/pii/S0167715215003247
4 摘要

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.


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