VaRES (version 1.0.1)

lfr: Linear failure rate distribution

Description

Computes the pdf, cdf, value at risk and expected shortfall for the linear failure rate distribution due to Bain (1974) given by $$\begin{array}{ll} &\displaystyle f(x) = (a + b x) \exp \left( -a x - b x^2 / 2 \right), \\ &\displaystyle F (x) = 1 - \exp \left( -a x - b x^2 / 2 \right), \\ &\displaystyle {\rm VaR}_p (X) = \frac {-a + \sqrt{a^2 - 2 b \log (1 - p)}}{b}, \\ &\displaystyle {\rm ES}_p (X) = -\frac {a}{b} + \frac {1}{b p} \int_0^p \sqrt{a^2 - 2 b \log (1 - v)} dv \end{array}$$ for \(x > 0\), \(0 < p < 1\), \(a > 0\), the first scale parameter, and \(b > 0\), the second scale parameter.

Usage

dlfr(x, a=1, b=1, log=FALSE)
plfr(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varlfr(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
eslfr(p, a=1, b=1)

Arguments

x

scaler or vector of values at which the pdf or cdf needs to be computed

p

scaler or vector of values at which the value at risk or expected shortfall needs to be computed

a

the value of the first scale parameter, must be positive, the default is 1

b

the value of the second scale parameter, must be positive, the default is 1

log

if TRUE then log(pdf) are returned

log.p

if TRUE then log(cdf) are returned and quantiles are computed for exp(p)

lower.tail

if FALSE then 1-cdf are returned and quantiles are computed for 1-p

Value

An object of the same length as x, giving the pdf or cdf values computed at x or an object of the same length as p, giving the values at risk or expected shortfall computed at p.

References

S. Nadarajah, S. Chan and E. Afuecheta, An R Package for value at risk and expected shortfall, submitted

Examples

# NOT RUN {
x=runif(10,min=0,max=1)
dlfr(x)
plfr(x)
varlfr(x)
eslfr(x)
# }