R/VaR_pareto.R

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

Defines functions VaR_pareto

Documented in VaR_pareto

#' Value-at-risk d'une loi Pareto
#' @param alph alpha
#' @param lam lambda
#' @param kappa kappa
#' @export
VaR_pareto <- function(kappa, alph, lam)
{
    lam * ((1-kappa)^(-1/alph) - 1)
}