XploRe Help : INSmoments

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	insurance
See also:	INSmgfs

Quantlet:		INSmoments
Description:		returns the k-th moment (up to fourth) of a distribution.

Reference(s):

P. Cizek, W. Haerdle, R. Weron (2004): "Statistical Tools for Finance and Insurance"

Usage:	`y = INSmoments(distrib, k, dparameters)`
Input:
	`distrib`	string, name of distribution of claims, either: exponential, gamma, mixofexps, Weibull, lognormal, loggamma, Pareto, Burr or truncPareto
	`k`	scalar, positive integer less equal 4, order of moment to calculate
	`dparameters`	list of scalars, parameters of the following distributions: exponential, gamma, Weibull, lognormal, loggamma, Pareto, Burr truncPareto list of n x 1 vectors of parameters of "mixofexps" distribution, the first vector are parameters for the exponential distributions and the second one are the weights of mixing
Output:
	`y`	scalar, k-th raw moment of the distribution

Example:

library("insurance") library("distribs") distrib = "gamma" dparameters = list(0.2,0.7) y = INSmoments(distrib, 3, dparameters) y

Result:

Contents of y

[1,]   1.5394

Author: P. Mista, 20031218 license MD*Tech