Distortion risk measure of a distribution

Distortion risk measure of a distribution

Usage

risk_measure(x, distortion, ...)

Arguments

x

A sampled, grid_distribution or predictive_distribution (measured on its total).

distortion

A distortion.

...

Unused; for methods.

Value

A single number. distortion("tvar", p) gives the same value as TVaR().

Examples

x <- sampled(c(1, 2, 3, 4))
risk_measure(x, distortion("tvar", 0.5))
#> [1] 3.5
risk_measure(grid_distribution(1, c(0.5, 0.25, 0.25)), distortion("proportional_hazard", 0.5))
#> [1] 1.207107