volaToExpectedShortfall

a numeric vector of positive volatilities.

a numeric value. The alpha-Expected Shortfall, must take values
between 0 and 1.

alpha

a logical value. If <code>TRUE</code> the function returns the upper
expected shortfall and otherwise the lower. Default is set to <code>FALSE</code>.

function to compute expected shortfall from volatility for
 normal random variables.

Framework for the implementation of solvency related computations based on
standard models for the Swiss Solvency Test (SST), a risk-based capital standard for Swiss
insurance companies. Allows Monte Carlo simulation of market risk, some insurance risks and
their aggregation. Additional toolbox for preprocessing computations. Convenient 'shiny' GUI
combined with a parser for an input 'excel' (.xlsx) template to simplify model configuration,
data fill-in and results visualization.

Michael Schmutz

sstModel

volaToExpectedShortfall: Transform normal volatility in expected shortfall

Description

Usage

Arguments

Value