Package jdistlib.finance

Class AdvancedRiskMeasures

java.lang.Object

jdistlib.finance.AdvancedRiskMeasures

public final class AdvancedRiskMeasures
extends Object

Spectral, distortion/Choquet, and entropic risk measures.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static interface	AdvancedRiskMeasures.Distortion
static interface	AdvancedRiskMeasures.SpectralWeight

Method Summary

Modifier and Type	Method	Description
static NumericalEstimate	distortedExpectation(GenericDistribution distribution, RiskConvention convention, AdvancedRiskMeasures.Distortion distortion)	Choquet expectation integral Q(p) d g(p), with endpoint-preserving distortion g.
static NumericalEstimate	entropic(GenericDistribution distribution, double theta, RiskConvention convention)	Entropic risk log E exp(theta*loss)/theta with an explicit MGF-domain check.
static NumericalEstimate	spectral(GenericDistribution distribution, RiskConvention convention, AdvancedRiskMeasures.SpectralWeight spectrum)
static AdvancedRiskMeasures.Distortion	wang(double shift)	Exponential Wang distortion g(p)=Phi(Phi^-1(p)+shift).

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

spectral

public static NumericalEstimate spectral(GenericDistribution distribution,
 RiskConvention convention,
 AdvancedRiskMeasures.SpectralWeight spectrum)

distortedExpectation

public static NumericalEstimate distortedExpectation(GenericDistribution distribution,
 RiskConvention convention,
 AdvancedRiskMeasures.Distortion distortion)

Choquet expectation integral Q(p) d g(p), with endpoint-preserving distortion g.

entropic

public static NumericalEstimate entropic(GenericDistribution distribution,
 double theta,
 RiskConvention convention)

Entropic risk log E exp(theta*loss)/theta with an explicit MGF-domain check.

wang

public static AdvancedRiskMeasures.Distortion wang(double shift)

Exponential Wang distortion g(p)=Phi(Phi^-1(p)+shift).