omegag {Risk}

Omega Risk Measure Due To Shadwick And Keating (2002)

Description

Computes the omega risk measure for a given ditribution

Usage

omegag(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, 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 the omega 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

W. F. Shadwick and C. Keating, A universal performance measure, Journal of Performance Measurement, 2002

Examples

omegag("norm", 2, -Inf, Inf)