expvar {Risk} | R Documentation |
An Elementary Risk Measure Due To Ahmadi-Javid (2012)
Description
Computes the elementary risk measure for a given ditribution
Usage
expvar(spec, alpha, a, b, ...)
Arguments
spec |
a character string specifying the distribution (for example, "norm" corresponds to the standard normal) |
alpha |
a positive valued parameter, see Chan and Nadarajah for details |
a |
the lower end point of the distribution specified by |
b |
the upper end point of the distribution specified by |
... |
other parameters |
Value
An object of the same length as alpha
, giving the elementary 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
A. Ahmadi-Javid, Entropic value-at-risk: A new coherent risk measure. Journal of Optimization Theory and Applications, 155, 2012, 1105-1123 <DOI:10.1007/s10957-011-9968-2>
Examples
expvar("norm", 0.9, -Inf, Inf)
[Package Risk version 1.0 Index]