stoneg1: Stone (1973)'s First Risk Measure

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

Description

Computes the first risk measure due to Stone (1973)

Usage

stoneg1(spec, x0, k, a, b, ...)

Arguments

spec	a character string specifying the distribution (for example, "norm" corresponds to the standard normal)
x0	a real valued parameter, see Chan and Nadarajah for details
k	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

A scalar, giving Stone (1973)'s first 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

B. K. Stone, A general class of three-parameter risk measuresm, The Journal of Finance, 28, 1973, 675-685 <DOI:10.2307/2978638>

Examples

stoneg1("norm", 8, 3, -Inf, Inf)

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