riskmeasures function

Calculates Quantiles and Expected Shortfalls

Makes a rapid calculation of point estimates of prescribed quantiles and expected shortfalls using the output of the function gpd.

riskmeasures(x, p)

Arguments

• x: results of a gpd fit
• p: a vector of probability levels

Returns

A matrix with three columns: probability level, quantile estimate, shortfall estimate.

Details

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.

See Also

gpd, tailplot, gpd.q, gpd.sfall

Examples

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