Probability of Exceedance Deviation for Gain (pr_dev_g)

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

Calculation in Run-File Environment
Calculation in MATLAB Environment

 

See also

Probability Group, Probability of Exceedance Deviation.