Computes the pdf, cdf, value at risk and expected shortfall for the Hankin-Lee distribution due to Hankin and Lee (2006) given by $$\begin{array}{ll} &\displaystyle {\rm VaR}_p (X) = \frac {c p^a}{(1 - p)^b}, \\ &\displaystyle {\rm ES}_p (X) = \frac {c}{p} B_p (a + 1, 1 - b) \end{array}$$ for \(0 < p < 1\), \(c > 0\), the scale parameter, \(a > 0\), the first shape parameter, and \(b > 0\), the second shape parameter.
varHL(p, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE)
esHL(p, a=1, b=1, c=1)
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
.
scaler or vector of values at which the value at risk or expected shortfall needs to be computed
the value of the scale parameter, must be positive, the default is 1
the value of the first shape parameter, must be positive, the default is 1
the value of the second shape parameter, must be positive, the default is 1
if TRUE then log(pdf) are returned
if TRUE then log(cdf) are returned and quantiles are computed for exp(p)
if FALSE then 1-cdf are returned and quantiles are computed for 1-p
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, tools:::Rd_expr_doi("10.1080/03610918.2014.944658")
x=runif(10,min=0,max=1)
varHL(x)
esHL(x)
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