expvar: An Elementary Risk Measure Due To Ahmadi-Javid (2012)

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

Description

Computes the elementary risk measure for a given ditribution

Usage

expvar(spec, alpha, a, b, ...)

Arguments

spec	a character string specifying the distribution (for example, "norm" corresponds to the standard normal)
alpha	a positive valued parameter, see Chan and Nadarajah for details
a	the lower end point of the distribution specified by spec
b	the upper end point of the distribution specified by spec
...	other parameters

Value

An object of the same length as alpha, giving the elementary risk measure of the distribution specified by spec

Author(s)

Stephen Chan, Saralees Nadarajah

References

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

A. Ahmadi-Javid, Entropic value-at-risk: A new coherent risk measure. Journal of Optimization Theory and Applications, 155, 2012, 1105-1123 <DOI:10.1007/s10957-011-9968-2>

Examples

expvar("norm", 0.9, -Inf, Inf)

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