Description Objects from the Class Slots Methods Note Author(s) References Examples
An object of class PSRISK
holding the estimated values
and parameters of the risk function.
Objects are usually created by calls to the function psRisk
.
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
signature(object = "PSRISK")
: Show method
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.
Alexios Ghalanos
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
1 | showClass("PSRISK")
|
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