Probability of Exceedance Deviation (pr_dev)
Contents
Probability of Exceedance Deviation. Probability that (Loss)-(Average Loss) exceeds some fixed threshold.
Syntax
pr_dev(w, matrix) |
short call; |
pr_dev_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 is:
,
where
is Probability of Exceedance function;
is a 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
Probability Group, Probability of Exceedance Deviation for Gain.