BKg2 {Risk}

Bronshtein And Kurelenkova (2009)'s Second Risk Measure

Description

Computes the second risk measure due to Bronshtein and Kurelenkova (2009)

Usage

BKg2(spec, alpha, a, b, ...)

Arguments

spec

a character string specifying the distribution (for example, "norm" corresponds to the standard normal)

alpha

a real valued parameter taking values in (0, 1), see Chan and Nadarajah for details

a

the lower end point of the distribution specified by spec

b

the upper end point of the distribution specified by spec

...

other parameters

Value

An object of the same length as alpha, giving Bronshtein and Kurelenkova (2009)'s second risk measure of the distribution specified by spec

Author(s)

Stephen Chan, Saralees Nadarajah

References

S. Chan and S. Nadarajah, Risk: An R package for risk measures, submitted

E. Bronshtein and J. Kurelenkova, Complex risk measures in portfolio optimization, Ufa State Aviation Technical University, Russia, 2009

Examples

BKg2("norm", 0.9, -Inf, Inf)