Bienvenüe, Alexis; Rullière, Didier - In: The Geneva Risk and Insurance Review 37 (2012) 2, pp. 156-179
We introduce a parametric class of composite probability distortions that can be combined to converge to a target survival function. These distortions respect analytic invertibility and stability, which are shown to be relevant in many actuarial fields. We study the asymptotic impact of such...