Description Usage Arguments Details Value Note Examples
Normal distribution
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mean |
mean (location) parameter mu. |
sd |
standard deviation sigma, must be positive. |
d |
cut-off value. |
less.than.d |
logical; if |
kap |
probability. |
t |
t. |
The Normal distribution with mean mu and standard deviation sigma has density:
f(x) = e^(-(1/2) ((x - mu)/sigma)^2) / ((2 pi)^(1/2) sigma
for x real, mu real, sigma > 0.
Function :
expValNorm
gives the expected value.
varNorm
gives the variance.
expValLimNorm
gives the limited mean.
expValTruncNorm
gives the truncated mean.
stopLossNorm
gives the stop-loss.
meanExcessNorm
gives the mean excess loss.
VatRNorm
gives the Value-at-Risk.
TVatRNorm
gives the Tail Value-at-Risk.
mgfNorm
gives the moment generating function (MGF).
Invalid parameter values will return an error detailing which parameter is problematic.
Function VatRNorm is a wrapper of the qnorm
function from the stats package.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 | expValNorm(mean = 3, sd = 5)
varNorm(mean = 3, sd = 5)
expValLimNorm(d = 2, mean = 2, sd = 5)
expValTruncNorm(d = 2, mean = 2, sd = 5)
stopLossNorm(d = 2, mean = 2, sd = 5)
meanExcessNorm(d = 2, mean = 2, sd = 5)
VatRNorm(kap = 0.8, mean = 3, sd = 5)
TVatRNorm(kap = 0.8, mean = 2, sd = 5)
mgfNorm(t = 1, mean = 3, sd = 5)
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