tvaru(sdprisk)
tvaru()所属R语言包：sdprisk
Tail Value at Ruin
破产时的尾值
译者：生物统计家园网 机器人LoveR
描述----------Description----------
The tail value at ruin for a given probability level ε is defined as the conditional expectation of the maximal aggregate loss given that it is above the value at ruin of level ε.
尾值在废墟一个给定的概率水平ε被定义为条件期望的最大总亏损，这是上面的值破产时的水平ε。
用法----------Usage----------
tvaru(process, method = c("saddlepoint", "hypoexp"), ...)
hypoexpTvaru(process)
saddlepointTvaru(process, type = c("tail", "density"), ...)
参数----------Arguments----------
参数：process
a "riskproc" object.
一个"riskproc"对象。
参数：method
character string indicating the calculation or approximation method.
字符串表示的计算或近似的方法。
参数：type
character string indicating which function is to be used for the approximation.
字符串表示该功能是被用于近似。
参数：...
further arguments that are passed on to saddlepointRuinprob, depending on the value of method.
进一步的论据，并把它传递到saddlepointRuinprob，根据的价值method。
Details
详细信息----------Details----------
tvaru is a wrapper function for hypoexpTvaru and saddlepointTvaru.
tvaru是一个包装函数hypoexpTvaru和saddlepointTvaru。
hypoexpTvaru calculates the tail value at ruin in the case of hypo-exponentially distributed claim amounts by numerical integration of the probability of ruin, which can be computed exactly.
hypoexpTvaru计算尾值在破产的情况下，低指数的废墟，它可以精确计算的数值积分的概率分布的索赔金额。
saddlepointTvaru uses saddlepoint techniques for the approximation of the tail value at ruin. More precisely, the saddlepoint approximation to the probability of is numerically integrated in the frequency domain, and implicitly also the saddlepoint approximation to the value at ruin (see varu) is used. If type = "tail" the integrand is the probability of ruin (as function in the frequency domain), otherwise (type = "density") it is essentially a re-scaled version of the probability of ruin due to claims. The former requires fewer calculations and seems to produce slightly more accurate results.
saddlepointTvaru鞍点技术在废墟尾值的近似。更精确地，鞍点近似的概率的数值积分在频域，也隐含鞍点近似的值毁掉（参见varu）使用。如果type = "tail"积毁的可能性（如在频域的功能），否则（type = "density"）本质上是一个重新缩放版本的概率毁由于索赔。前者需要较少的计算，似乎稍微更准确的结果。
值----------Value----------
A function returning the tail value at ruin of a given probability level is returned.
返回一个函数返回的尾值在给定的概率水平的废墟。
If method = "saddlepoint" or if saddlepointTvaru is used, the returned function has an additional second argument giving the number of iterations used for the approximation of the value at ruin (i. e., the lower integration limit), see varu.
如果method = "saddlepoint"如果saddlepointTvaru使用，返回的函数有一个额外的第二个参数，用于近似的价值毁灭（即，降低整合的限制）的迭代数，varu。
参见----------See Also----------
varu
varu
转载请注明:出自 生物统计家园网(http://www.biostatistic.net)。
注：
注1：为了方便大家学习，本文档为生物统计家园网机器人LoveR翻译而成，仅供个人R语言学习参考使用，生物统计家园保留版权。
注2：由于是机器人自动翻译，难免有不准确之处，使用时仔细对照中、英文内容进行反复理解，可以帮助R语言的学习。
注3：如遇到不准确之处，请在本贴的后面进行回帖，我们会逐渐进行修订。
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发表于 2012-9-29 23:38:24
