Partial Moment for Gain Normal Dependent (pm_pen_nd_g)
Contents
Partial Moment for Gain Normal Dependent. Expected access of - (Loss ) over some fixed threshold for the Loss with mutually dependent normally distributed random coefficients.
Syntax
pm_pen_nd_g(w,matrix_mn,matrix_cov) |
short call |
pm_pen_nd_g_name(w,matrix_mn,matrix_cov) |
call with optional name |
Parameters
matrix_mn is a PSG matrix of mean values:
where the header row contains names of variables. The second row contains numerical data.
matrix_cov is a PSG matrix of covariance values:
where the header row contains names of variables. Other rows contain numerical data.
 | is a threshold value. |
Mathematical Definition
Partial Moment for Gain Normal Dependent function is calculated as follows:
,
where
is a Partial Moment Normal Dependent function,
is Loss function (See section Loss and Gain Functions),
,
,
is the standard normal distribution,
is probability density function of the standard normal distribution,
is an argument of function.
Example
See also