Generalized Gini's mean difference through distortions and copulas, and related minimizing problems

Abstract

Given a random variable $X$ and considered a family of its possible distortions, we define two new measures of distance between $X$ and each its distortion. For these distance measures, which are extensions of the Gini's mean difference, conditions are determined for the existence of a minimum, or a maximum, within specific families of distortions, generalizing some results presented in the recent literature.

14 pages, 3 figures, previous version submitted for publication on March 20, 2023