epsg: Expected Proportional Shortfall Due To Belzunce et al. (2012)

In Risk: Computes 26 Financial Risk Measures for Any Continuous Distribution

Description

Computes expected proportional shortfall for a given ditribution

Usage

epsg(spec, alpha, ...)

Arguments

spec	a character string specifying the distribution (for example, "norm" corresponds to the standard normal)
alpha	the probabilities associated with expected proportional shortfalls
...	other parameters

Value

An object of the same length as alpha, giving expected proportional shortfalls computed.

Author(s)

Stephen Chan, Saralees Nadarajah

References

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

F. Belzunce, J. F. Pinar, J. M. Ruiz and M. A. Sordo, Comparison of risks based on the expected proportional shortfall, Insurance: Mathematics and Economics, 51, 2012, 292-302 <DOI:10.1016/j.insmatheco.2012.05.003>

Examples

epsg("norm", 0.9)

Risk documentation built on May 2, 2019, 3:34 p.m.