Distributacalcul (version 0.2.2)

TVaR_pois: Tail Value-at-Risk of the Poisson distribution

Description

Tail Value-at-Risk of the Poisson distribution with rate parameter \(\lambda\).

Usage

TVaR_pois(kap, lambda, k0)

Arguments

kap

probability.

lambda

Rate parameter \(\lambda\).

k0

point up to which to sum the distribution to approximate the expected value.

Value

Function :

• MGF_pois gives the moment generating function (MGF).

• PGF_pois gives the probability generating function (PGF).

• E_pois gives the expected value.

• V_beta gives the variance.

• Etronq_pois gives the truncated mean.

• TVaR_pois gives the Tail Value-at-Risk.

Invalid parameter values will return an error detailing which parameter is problematic.

Details

The Poisson distribution with rate parameter \(\lambda\) has probability mass function : $$Pr(X = k) = \frac{\lambda^k \textrm{e}^{-\lambda}}{k!}$$ for \(k = 0, 1, 2, \dots\), and \(\lambda > 0\)

See Also

Other Poisson Distribution: E_pois(), Etronq_pois(), MGF_pois(), PGF_pois(), V_pois()

Examples

# NOT RUN {
TVaR_pois(kap = 0.8, lambda = 3, k0 = 2E2)

# }