Distributacalcul (version 0.4.0)

CompBinom: Compound Binomial Distribution

Description

Computes various risk measures (mean, variance, Value-at-Risk (VaR), and Tail Value-at-Risk (TVaR)) for the compound Binomial distribution.

Usage

pCompBinom(
  x,
  size,
  prob,
  shape,
  rate = 1/scale,
  scale = 1/rate,
  k0,
  distr_severity = "Gamma"
)
expValCompBinom(
  size,
  prob,
  shape,
  rate = 1/scale,
  scale = 1/rate,
  distr_severity = "Gamma"
)
varCompBinom(
  size,
  prob,
  shape,
  rate = 1/scale,
  scale = 1/rate,
  distr_severity = "Gamma"
)
VatRCompBinom(
  kap,
  size,
  prob,
  shape,
  rate = 1/scale,
  scale = 1/rate,
  k0,
  distr_severity = "Gamma"
)
TVatRCompBinom(
  kap,
  size,
  prob,
  shape,
  rate = 1/scale,
  scale = 1/rate,
  vark,
  k0,
  distr_severity = "Gamma"
)

Value

Function :

• pCompBinom gives the cumulative density function.

• expValCompBinom gives the expected value.

• varCompBinom gives the variance.

• TVatRCompBinom gives the Tail Value-at-Risk.

• VatRCompBinom gives the Value-at-Risk.

Returned values are approximations for the cumulative density function, TVaR, and VaR.

Arguments

x

vector of quantiles

size

Number of trials (0 or more).

prob

Probability of success in each trial.

shape

shape parameter \(\alpha\), must be positive.

rate

rate parameter \(\beta\), must be positive.

scale

alternative parameterization to the rate parameter, scale = 1 / rate.

k0

point up to which to sum the distribution for the approximation.

distr_severity

Choice of severity distribution.

• "gamma" (default)

• "lognormal" only for the expected value and variance.

kap

probability.

vark

Value-at-Risk (VaR) calculated at the given probability kap.

Details

The compound binomial distribution has density ....

Examples

pCompBinom(x = 2, size = 1, prob = 0.2, shape = log(1000) - 0.405,
          rate = 0.9^2, k0 = 1E2, distr_severity = "Gamma")

expValCompBinom(size = 1, prob = 0.2, shape = log(1000) - 0.405, rate = 0.9^2,
          distr_severity = "Lognormale")

varCompBinom(size = 1, prob = 0.2, shape = log(1000) - 0.405, rate = 0.9^2,
          distr_severity = "Lognormale")

VatRCompBinom(kap = 0.9, size = 1, prob = 0.2, shape = log(1000) - 0.405,
            rate = 0.9^2, k0 = 1E2, distr_severity = "Gamma")

vark_calc <- VatRCompBinom(kap = 0.9, size = 1, prob = 0.2, shape = 0.59,
            rate = 0.9^2, k0 = 1E2, distr_severity = "Gamma")
TVatRCompBinom(kap = 0.9, size = 1, prob = 0.2, shape = 0.59, rate = 0.9^2,
            vark = vark_calc, k0 = 1E2, distr_severity = "Gamma")