Distributacalcul (version 0.2.2)

VaR_pareto: Value-at-Risk of the Pareto distribution

Description

Value-at-Risk of the Pareto distribution with shape parameter \(\alpha\) and rate parameter \(\lambda\).

Usage

VaR_pareto(kap, shape, rate = 1/scale, scale = 1/rate)

Arguments

kap

probability.

shape

shape parameter \(\alpha\), must be positive.

rate

\(\lambda\) rate parameter, must be positive.

scale

alternative parameterization to the rate parameter, scale = 1 / rate.

Value

Function :

• d_pareto gives the density function.

• p_pareto gives the cumulative density function.

• E_pareto gives the expected value.

• V_pareto gives the variance.

• kthmoment_pareto gives the kth moment.

• Etronq_pareto gives the truncated mean.

• SL_pareto gives the stop-loss.

• Elim_pareto gives the limited mean.

• Mexcess_pareto gives the mean excess loss.

• TVaR_pareto gives the Tail Value-at-Risk.

• VaR_pareto gives the Value-at-Risk.

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

Details

The Pareto distribution with rate parameter \(\lambda\) as well as shape parameter \(\alpha\) has density: $$f\left(x\right) = \frac{\alpha% \lambda^{\alpha}}{(\lambda + x)^{\alpha + 1}}$$ for \(x \in \mathcal{R}^+\), \(\alpha, \lambda > 0\).

See Also

Other Pareto Distribution: E_pareto(), Elim_pareto(), Etronq_pareto(), Mexcess_pareto(), SL_pareto(), TVaR_pareto(), V_pareto(), d_pareto(), kthmoment_pareto(), p_pareto()

Examples

# NOT RUN {
# With scale parameter
VaR_pareto(kap = .99, shape = 5, rate = 2)

# With rate parameter
VaR_pareto(kap = .99, shape = 5, scale = 0.5)

# }