Probability of Exceedance Deviation for Gain. Probability that -(Loss)+(Average Loss) exceeds some fixed threshold.
Syntax
pr_dev_g(w, matrix) |
short call; |
pr_dev_g_name(w, matrix) |
call with optional name. |
Parameters
is a threshold value.
matrix is a Matrix of Scenarios:
where the header row contains names of variables (except scenario_probability, and scenario_benchmark). Other rows contain numerical data. The scenario_probability, and scenario_benchmark columns are optional.
Mathematical Definition
Probability of Exceedance Deviation for Gain is calculated as follows
;
where
is a vector of random coefficients for Loss Function;
is Loss Function (See section Loss and Gain Functions);
;
,
, , are scenarios of Loss Function (See section Loss and Gain Functions);
is an argument of function.
Example
See also