R/TVaR_norm.R

In gabrielcrepeault/tvarPackage: Calculate Mean, Variance, Truncated Mean, VaR, TVaR, etc for different probability distributions

#' Tail Value-at-Risk d'une loi normale
#' @param mu mu
#' @param sig sigma
#' @param kappa pourcentage de confiance désiré
#' @export
TVaR_norm <- function(kappa, mu = 0, sig = 1)
{
    fact_tvar <- 1 / (1-kappa)
    exposant <- -(qnorm(kappa, mu, sig))^2 / 2
    mu + fact_tvar * sig * (1/sqrt(2*pi)) * exp(exposant)
}