risk.marginal_expected_shortfall()

Marginal expected shortfall of each component at level p: its mean

Usage

risk.marginal_expected_shortfall(
    pd,
    p,
)

over the simulations where the total is in its worst 1 - p.

The same as allocate(pd, Distortion.tvar(p)); it sums to the total’s TVaR.

Parameters

pd: PredictiveDistribution

p: float

Returns

list of float

One per component, in pd.components() order.

Examples

>>> from prospicio.distributions import PredictiveDistribution
>>> from prospicio.risk import marginal_expected_shortfall
>>> pd = PredictiveDistribution(["lob"], [("motor",), ("property",)],
...                             [[1.0, 2.0], [4.0, 1.0], [2.0, 5.0], [3.0, 6.0]])
>>> marginal_expected_shortfall(pd, 0.5)

[2.5, 5.5]