tcm {Risk}

Tail Conditional Mean Due To Kou et al. (2013)

Description

Computes tail conditional median for a given ditribution

Usage

tcm(spec, alpha, ...)

Arguments

spec

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

alpha

the probabilities associated with tail conditional median

...

other parameters

Value

An object of the same length as alpha, giving tail conditional medians computed.

Author(s)

Stephen Chan, Saralees Nadarajah

References

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

S. Kou, X. Peng and C. C. Heyde, External risk measures and Basel accords, Mathematics of Operations Research, 38, 2013, 393-417 <DOI:10.1287/moor.1120.0577>

Examples

tcm("norm", 0.9)