riskmeasures {evir} | R Documentation |
Makes a rapid calculation of point estimates of prescribed
quantiles and expected shortfalls using the output of the
function gpd
.
riskmeasures(x, p)
x |
results of a |
p |
a vector of probability levels |
This function simply calculates point estimates and (at present)
makes no attempt to calculate confidence intervals for the risk
measures. If confidence levels are required use gpd.q
and
gpd.sfall
which interact with graphs of the tail of a loss
distribution and are much slower.
A matrix with three columns: probability level, quantile estimate, shortfall estimate.
gpd
, tailplot
,
gpd.q
, gpd.sfall
data(danish)
out <- gpd(danish, 10)
riskmeasures(out, c(0.999, 0.9999))
# gives estimates of 0.999 and 0.9999 quantiles of Danish loss
# distribution as well as the associated expected shortfall estimates