Description Usage Arguments Details Value Examples
Computes various risk measures (mean, variance, Value-at-Risk (VaR), and Tail Value-at-Risk (TVaR)) for the compound Poisson distribution.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 | pCompPois(
x,
lambda,
shape,
rate = 1/scale,
scale = 1/rate,
k0,
distr_severity = "Gamma"
)
expValCompPois(
lambda,
shape,
rate = 1/scale,
scale = 1/rate,
distr_severity = "Gamma"
)
varCompPois(
lambda,
shape,
rate = 1/scale,
scale = 1/rate,
distr_severity = "Gamma"
)
VatRCompPois(
kap,
lambda,
shape,
rate = 1/scale,
scale = 1/rate,
k0,
distr_severity = "Gamma"
)
TVatRCompPois(
kap,
lambda,
shape,
rate = 1/scale,
scale = 1/rate,
vark,
k0,
distr_severity = "Gamma"
)
|
x |
vector of quantiles. |
lambda |
Rate parameter lambda. |
shape |
shape parameter alpha, must be positive. |
rate |
rate parameter beta, must be positive. |
scale |
alternative parameterization to the rate parameter, scale = 1 / rate. |
k0 |
point up to which to sum the distribution for the approximation. |
distr_severity |
Choice of severity distribution.
|
kap |
probability. |
vark |
Value-at-Risk (VaR) calculated at the given probability kap. |
The compound Poisson distribution with parameters ... has density ....
Function :
pCompPois
gives the cumulative density function.
expValCompPois
gives the expected value.
varCompPois
gives the variance.
TVatRCompPois
gives the Tail Value-at-Risk.
VatRCompPois
gives the Value-at-Risk.
Returned values are approximations for the cumulative density function, TVaR, and VaR.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 | pCompPois(x = 2, lambda = 2, shape = log(1000) - 0.405,
rate = 0.9^2, k0 = 1E2, distr_severity = "Gamma")
expValCompPois(lambda = 2, shape = log(1000) - 0.405, rate = 0.9^2,
distr_severity = "Lognormale")
varCompPois(lambda = 2, shape = log(1000) - 0.405, rate = 0.9^2,
distr_severity = "Lognormale")
VatRCompPois(kap = 0.9, lambda = 2, shape = log(1000) - 0.405,
rate = 0.9^2, k0 = 1E2, distr_severity = "Gamma")
vark_calc <- VatRCompPois(kap = 0.9, lambda = 2, shape = 0.59,
rate = 0.9^2, k0 = 1E2, distr_severity = "Gamma")
TVatRCompPois(kap = 0.9, lambda = 2, shape = 0.59, rate = 0.9^2,
vark = vark_calc, k0 = 1E2, distr_severity = "Gamma")
|
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