VaRES (version 1.0.1)

perks: Perks distribution

Description

Computes the pdf, cdf, value at risk and expected shortfall for the Perks distribution due to Perks (1932) given by $$\begin{array}{ll} &\displaystyle f(x) = \frac {\displaystyle a \exp (b x) \left[ 1 + a \right]} {\displaystyle \left[ 1 + a \exp (b x) \right]^2}, \\ &\displaystyle F (x) = 1 - \frac {\displaystyle 1 + a} {\displaystyle 1 + a \exp (b x)}, \\ &\displaystyle {\rm VaR}_p (X) = \frac {1}{b} \log \frac {a + p}{a (1 - p)}, \\ &\displaystyle {\rm ES}_p (X) = -\left( 1 + \frac {a}{p} \right) \frac {\log a}{b} +\frac {(a + p) \log (a +p)}{b p} + \frac {(1 - p) \log (1 - p)}{b p} \end{array}$$ for \(x > 0\), \(0 < p < 1\), \(a > 0\), the first scale parameter and \(b > 0\), the second scale parameter.

Usage

dperks(x, a=1, b=1, log=FALSE)
pperks(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varperks(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
esperks(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)
dperks(x)
pperks(x)
varperks(x)
esperks(x)
# }