wangg2: Wang (1998)'s Second Risk Measure

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

Description

Computes the second risk measure due to Wang (1998)

Usage

wangg2(spec, alpha, a, b, ...)

Arguments

spec	a character string specifying the distribution (for example, "norm" corresponds to the standard normal)
alpha	a real valued parameter taking values in (0, 1), 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 Wang (1998)'s second 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

S. Wang, An actuarial index of the right-tail risk, North American Actuarial Journal, 2, 1998, 88-101 <DOI:10.1080/10920277.1998.10595708>

Examples

wangg2("lnorm", 0.9, 0, Inf)

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