riskmeasures              package:evir              R Documentation

_C_a_l_c_u_l_a_t_e_s _Q_u_a_n_t_i_l_e_s _a_n_d _E_x_p_e_c_t_e_d _S_h_o_r_t_f_a_l_l_s

_D_e_s_c_r_i_p_t_i_o_n:

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

_U_s_a_g_e:

     riskmeasures(x, p)

_A_r_g_u_m_e_n_t_s:

       x: results of a 'gpd' fit

       p: a vector of probability levels

_D_e_t_a_i_l_s:

     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.

_V_a_l_u_e:

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

_S_e_e _A_l_s_o:

     'gpd', 'tailplot', 'gpd.q', 'gpd.sfall'

_E_x_a_m_p_l_e_s:

     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 

