riskmeasures: Calculates Quantiles and Expected Shortfalls

In evir: Extreme Values in R

Description

Makes a rapid calculation of point estimates of prescribed quantiles and expected shortfalls using the output of the function gpd.

Usage

riskmeasures(x, p)

Arguments

x	results of a gpd fit
p	a vector of probability levels

Details

This function simply calculates point estimates and (at present) makes no attempt to calculate confidence intervals for the risk measures. If confidence levels are required use gpd.q and gpd.sfall which interact with graphs of the tail of a loss distribution and are much slower.

Value

A matrix with three columns: probability level, quantile estimate, shortfall estimate.

See Also

gpd, tailplot, gpd.q, gpd.sfall

Examples

data(danish)
out <- gpd(danish, 10) 
riskmeasures(out, c(0.999, 0.9999)) 
# gives estimates of 0.999 and 0.9999 quantiles of Danish loss
# distribution as well as the associated expected shortfall estimates 

Example output

          p  quantile    sfall
[1,] 0.9990  94.28956 191.3697
[2,] 0.9999 304.62448 609.3696

evir documentation built on May 2, 2019, 12:21 p.m.