RiskMeasure {AoE} | R Documentation |
Computes a number of (tail-related) risk measures for a number of distributions.
RiskMeasure(dist, par, rm, a = 0, b = Inf, eta = 1, p = 1)
dist |
A character string indicating the distribution. See Details below. |
par |
A numeric vector containing the parameters of the distribution. Parameters of the distribution. See Details below. |
rm |
A character string containing the parameter of the distribution. |
a, b |
Lower and upper level of an excess-of-loss contract; will be ignored unless rm = "XL" . |
eta |
Shape parameter in proportional hazards transform; will be ignored unless rm = "PH" . |
p |
Tail probability in case of expected shortfall, tail quantile, or economic capital. Will be ignored unless rm takes one of the values "EC" , "ES" , or "TQ" . |
The purpose of this function is primarily to investigate the performance of various estimators of tail-related risk measures implemented by providing the true values for a number of heavy-tailed distributions.
The arguments dist
and par
determine for which distribution the desired risk measure will be computed:
"abs_t"
par
."Pareto"
par
.
The risk measure to be computed is determined by the value of the argument rm
and, if relevant, the values of the arguments a
, b
, nu
, and p
:
"E"
"EC"
p
."ES"
p
."PH"
eta
."TQ"
p
."Var"
"XL"
a
and upper limit b
. Set b = Inf
in case of no upper limit.A number.
EconomicCapital
, ExcessLoss
, Expectation
, ExpectedShortfall
, PHtransform
, Variance
# absolute values of random numbers from the t-distribution: X <- abs(rt(n = 1000, df = 2)) # estimated tail quantile TailQuantile(X, p = 0.001, k = (1:20)*5) # true tail quantile RiskMeasure(dist = "abs_t", par = 2, rm = "TQ", p = 0.001)