PSRISK-class: Class: Pedersen-Satchell Family of Risk Measures

Description Objects from the Class Slots Methods Note Author(s) References Examples

Description

An object of class PSRISK holding the estimated values and parameters of the risk function.

Objects from the Class

Objects are usually created by calls to the function psRisk.

Slots

A:

Object of class "numeric" The upper bound of the integration

b:

Object of class "numeric" The threshold value

a:

Object of class "numeric" The power in the inner equation (integrated)

h:

Object of class "numeric" The power in the outer equation

W:

Object of class "function" Additional function supplied by user

distribution:

Object of class "character" Distribution Name

fit:

Object of class "vector" List of distribution fit parameters

riskMeasure:

Object of class "vector" Value of resulting risk measure

Methods

show

signature(object = "PSRISK"): Show method

Note

The Pedersen Satchell paper presented a sort of catch all measure of financial risk which captured many of the most popular measures including the family of measure by Stone, Fishburn and others. The function is implemented here in the pmoments package in its analytic form.

Author(s)

Alexios Ghalanos

References

Pedersen,C.S and Satchell,S.E (1998), An Extended Family of Financial-Risk Measures, The Geneva Papers on Risk and Insurance Theory, 23, 89–117

Examples

1
showClass("PSRISK")

pmoments documentation built on May 31, 2017, 1:48 a.m.