A Concise Summary of @RISK Probability

Distribution Functions
Copyright © 2002 - 2005 Palisade Corporation
All Rights Reserved
 Beta
RISKBeta(α1, α2)
Parameters:

α1 continuous shape parameter α1 > 0

α2 continuous shape parameter α2 > 0

Domain:

0≤x≤1 continuous

Density and Cumulative Distribution Functions:

x α1 −1 (1 − x )α 2 −1
f (x) =
Β(α1 , α 2 )

B x (α1 , α 2 )
F( x ) = ≡ I x (α1 , α 2 )
B(α1 , α 2 )

where B is the Beta Function and Bx is the Incomplete Beta Function.

Mean:

α1
α1 + α 2

Variance:

α1α 2
(α1 + α 2 )2 (α1 + α 2 + 1)
Skewness:

α 2 − α1 α1 + α 2 + 1
2
α1 + α 2 + 2 α1α 2

Kurtosis:

3
(α1 + α 2 + 1)(2(α1 + α 2 )2 + α1α 2 (α1 + α 2 − 6))
α1α 2 (α1 + α 2 + 2)(α1 + α 2 + 3)

Mode:

α1 − 1
α1>1, α2>1
α1 + α 2 − 2

0 α1<1, α2≥1 or α1=1, α2>1

1 α1≥1, α2<1 or α1>1, α2=1

PDF - Beta(2,3) CDF - Beta(2,3)

2.0 1.0

1.8

1.6 0.8

1.4

1.2 0.6

1.0

0.8 0.4

0.6

0.4 0.2

0.2

0.0 0.0
-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2
 Beta (Generalized)
RISKBetaGeneral(α1, α2, min, max)
Parameters:

α1 continuous shape parameter α1 > 0

α2 continuous shape parameter α2 > 0

min continuous boundary parameter min < max

max continuous boundary parameter

Domain:

min ≤ x ≤ max continuous

Density and Cumulative Distribution Functions:

f (x) =
(x − min )α1 −1 (max− x )α 2 −1
Β(α1 , α 2 )(max − min )α1 + α 2 −1

B z (α1 , α 2 ) x − min
F( x ) = ≡ I z (α1 , α 2 ) with z ≡
B(α1 , α 2 ) max − min

where B is the Beta Function and Bz is the Incomplete Beta Function.

Mean:

α1
min + (max− min )
α1 + α 2

Variance:
α1α 2
(max− min ) 2
(α1 + α 2 ) (α1 + α 2 + 1)
2
Skewness:

α 2 − α1 α1 + α 2 + 1
2
α1 + α 2 + 2 α1α 2

Kurtosis:

3
(α1 + α 2 + 1)(2(α1 + α 2 )2 + α1α 2 (α1 + α 2 − 6))
α1α 2 (α1 + α 2 + 2)(α1 + α 2 + 3)

Mode:

α1 − 1
min + (max− min ) α1>1, α2>1
α1 + α 2 − 2

min α1<1, α2≥1 or α1=1, α2>1

max α1≥1, α2<1 or α1>1, α2=1

PDF - BetaGeneral(2,3,0,5) CDF - BetaGeneral(2,3,0,5)

0.40 1.0

0.35
0.8
0.30

0.25
0.6

0.20

0.4
0.15

0.10
0.2
0.05

0.00 0.0
-1

-1

6
 Beta (Subjective)
RISKBetaSubj(min, [Link], mean, max)
Definitions:

min + max
mid ≡
2

α1 ≡ 2
(mean − min )(mid − [Link]) α 2 ≡ α1
max − mean
(mean − [Link])(max − min ) mean − min

Parameters:

min continuous boundary parameter min < max

[Link] continuous parameter min < [Link] < max

mean continuous parameter min < mean < max

max continuous boundary parameter

mean > mid if [Link] > mean

mean < mid if [Link] < mean
mean = mid if [Link] = mean

Domain:
min ≤ x ≤ max continuous

Density and Cumulative Distribution Functions:

f (x) =
(x − min )α1 −1 (max− x )α 2 −1
Β(α1 , α 2 )(max − min )α1 + α 2 −1

B z (α1 , α 2 ) x − min
F( x ) = ≡ I z (α1 , α 2 ) with z ≡
B(α1 , α 2 ) max − min

where B is the Beta Function and Bz is the Incomplete Beta Function.

Mean:

mean

Variance:

(mean − min )(max − mean )(mean − [Link])

2 ⋅ mid + mean − 3 ⋅ [Link]

Skewness:

2 (mid − mean ) (mean − [Link])(2 ⋅ mid + mean − 3 ⋅ [Link])

mean + mid − 2 ⋅ [Link] (mean − min )(max − mean )

Kurtosis:

(α1 + α 2 + 1)(2(α1 + α 2 )2 + α1α 2 (α1 + α 2 − 6))

3
α1α 2 (α1 + α 2 + 2)(α1 + α 2 + 3)

Mode:

[Link]

PDF - BetaSubj(0,1,2,5) CDF - BetaSubj(0,1,2,5)

0.30 1.0

0.25
0.8

0.20
0.6

0.15

0.4
0.10

0.2
0.05

0.00 0.0
-1

-1

6
 Binomial
RISKBinomial(n, p)
Parameters:

n discrete “count” parameter n>0*

p continuous “success” probability 0<p<1*

*n = 0, p = 0 and p = 1 are supported for modeling convenience, but give degenerate distributions.

Domain:

0≤x≤n discrete integers

Mass and Cumulative Functions:

⎛n⎞
f ( x ) = ⎜⎜ ⎟⎟p x (1 − p )n − x
⎝x⎠

x
⎛n⎞
F( x ) = ∑ ⎜⎜⎝ i ⎟⎟⎠ pi (1 − p) n − i
i=0

Mean:

np

Variance:

np(1 − p )
Skewness:

(1 − 2p )
np(1 − p )

Kurtosis:

6 1
3− +
n np(1 − p )

Mode:

(bimodal) p(n + 1) − 1 and p(n + 1) if p(n + 1) is integral

(unimodal) largest integer less than p(n + 1) otherwise

PMF - Binomial(8,.4) CDF - Binomial(8,.4)

0.30 1.0

0.25
0.8

0.20
0.6

0.15

0.4
0.10

0.2
0.05

0.00 0.0
-1

-1

9
 Chi-Squared
RISKChiSq(ν)
Parameters:

ν discrete shape parameter ν>0

Domain:

0 ≤ x < +∞ continuous

Density and Cumulative Functions:

1
f (x) = e − x 2 x (ν 2 )−1
2 ν2
Γ(ν 2)

Γx 2 (ν 2 )
F( x ) =
Γ(ν 2 )

where Γ is the Gamma Function, and Γx is the Incomplete Gamma Function.

Mean:

Variance:

2ν
Skewness:

8
ν

Kurtosis:

12
3+
ν

Mode:

ν-2 if ν ≥ 2

0 if ν = 1

PDF - ChiSq(5) CDF - ChiSq(5)

0.18 1.0

0.16 0.9

0.8
0.14
0.7
0.12
0.6
0.10
0.5
0.08
0.4
0.06
0.3
0.04
0.2

0.02 0.1

0.00 0.0
-2

10

12

14

16

-2

10

12

14

16
 Cumulative (Ascending)
RISKCumul(min, max, {x}, {p})
Parameters:

min continuous parameter min < max

max continuous parameter

{x} = {x1, x2, …, xN} array of continuous parameters min ≤ xi ≤ max

{p} = {p1, p2, …, pN} array of continuous parameters 0 ≤ pi ≤ 1

Domain:

min ≤ x ≤ max continuous

Density and Cumulative Functions:

p − pi
f ( x ) = i +1 for xi ≤ x < xi+1
x i +1 − x i

⎛ x − xi ⎞
F( x ) = p i + (p i +1 − p i )⎜⎜ ⎟⎟ for xi ≤ x ≤ xi+1
⎝ x i +1 − x i ⎠

With the assumptions:

1. The arrays are ordered from left to right
2. The i index runs from 0 to N+1, with two extra elements : x0 ≡ min, p0 ≡ 0 and xN+1 ≡ max, pN+1 ≡ 1.

Mean:

No Closed Form

Variance:

No Closed Form
Skewness:

No Closed Form

Kurtosis:

No Closed Form

Mode:

No Closed Form

PDF - Cumul(0,5,{1,2,3,4},{.2,.3,.7,.8}) CDF - Cumul(0,5,{1,2,3,4},{.2,.3,.7,.8})

0.45 1.0

0.40

0.8
0.35

0.30
0.6
0.25

0.20
0.4
0.15

0.10
0.2

0.05

0.00 0.0
-1

-1

6
 Cumulative (Descending)
RISKCumulD(min, max, {x}, {p})
Parameters:

min continuous parameter min < max

max continuous parameter

{x} = {x1, x2, …, xN} array of continuous parameters min ≤ xi ≤ max

{p} = {p1, p2, …, pN} array of continuous parameters 0 ≤ pi ≤ 1

Domain:

min ≤ x ≤ max continuous

Density and Cumulative Functions:

p − p i +1
f (x) = i for xi ≤ x < xi+1
x i +1 − x i

⎛ x − xi ⎞
F( x ) = 1 − p i + (p i − p i +1 )⎜⎜ ⎟⎟ for xi ≤ x ≤ xi+1
⎝ x i +1 − x i ⎠

With the assumptions:

1. The arrays are ordered from left to right
2. The i index runs from 0 to N+1, with two extra elements : x0 ≡ min, p0 ≡ 1 and xN+1 ≡ max, pN+1 ≡ 0.

Mean:

No Closed Form

Variance:

No Closed Form
Skewness:

No Closed Form

Kurtosis:

No Closed Form

Mode:

No Closed Form

PDF - CumulD(0,5,{1,2,3,4},{.8,.7,.3,.2}) CDF - CumulD(0,5,{1,2,3,4},{.8,.7,.3,.2})

0.45 1.0

0.40

0.8
0.35

0.30
0.6
0.25

0.20
0.4
0.15

0.10
0.2

0.05

0.00 0.0
-1

-1

6
 Discrete
RISKDiscrete({x}, {p})
Parameters:

{x} = {x1, x2, …, xN} array of continuous parameters

{p} = {p1, p2, …, pN} array of continuous parameters

Domain:

x ∈ {x} discrete

Mass and Cumulative Functions:

f (x) = p i for x = x i

f (x) = 0 for x ∉ {x}

F( x ) = 0 for x < x1

s
F( x ) = ∑ pi for xs ≤ x < xs+1, s < N
i =1

F( x ) = 1 for x ≥ xN

With the assumptions:

1. The arrays are ordered from left to right
2. The p array is normalized to 1.

Mean:

∑ x i pi ≡ µ
i =1
Variance:

∑ ( x i − µ) 2 p i ≡ V
i =1

Skewness:

∑ ( x i − µ) 3 p i
1
32
V i =1

Kurtosis:

∑ ( x i − µ) 4 p i
1
2
V i =1

Mode:

The x-value corresponding to the highest p-value.

PMF - Discrete({1,2,3,4},{2,1,2,1}) CDF - Discrete({1,2,3,4},{2,1,2,1})

0.35 1.0

0.30
0.8

0.25

0.6
0.20

0.15
0.4

0.10

0.2
0.05

0.00 0.0
0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5
 Discrete Uniform
RISKDUniform({x})
Parameters:

{x} = {x1, x1, …, xN} array of continuous parameters

Domain:

x ∈ {x} discrete

Mass and Cumulative Functions:

1
f (x) = for x ∈ {x}
N

f (x) = 0 for x ∉ {x}

F( x ) = 0 for x < x1

i
F( x ) = for xi ≤ x < xi+1
N

F( x ) = 1 for x ≥ xN

assuming the {x} array is ordered.

Mean:

∑ xi ≡ µ
1
N
i =1
Variance:

∑ ( x i − µ) 2 ≡ V
1
N
i =1

Skewness:

∑ ( x i − µ) 3
1
32
NV i =1

Kurtosis:

∑ ( x i − µ) 4
1
2
NV i =1

Mode:

Not uniquely defined

PMF - DUniform({1,5,8,11,12}) CDF - DUniform({1,5,8,11,12})

0.25 1.0

0.20 0.8

0.15 0.6

0.10 0.4

0.05 0.2

0.00 0.0
0

10

12

14

10

12

14
 “Error Function”
RISKErf(h)
Parameters:

h continuous inverse scale parameter h>0

Domain:

-∞ < x < +∞ continuous

Density and Cumulative Functions:

h −(hx )2
f (x) = e
π

1 + erf (hx )
(
F( x ) ≡ Φ 2hx = ) 2

where Φ is called the Laplace-Gauss Integral and erf is the Error Function.

Mean:

Variance:

1
2h 2
Skewness:

Kurtosis:

Mode:

PDF - Erf(1) CDF - Erf(1)

0.6 1.0

0.9
0.5
0.8

0.7
0.4
0.6

0.3 0.5

0.4
0.2
0.3

0.2
0.1
0.1

0.0 0.0
-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0
 Erlang
RISKErlang(m,β)
Parameters:

m integral shape parameter m>0

β continuous scale parameter β>0

Domain:

0 ≤ x < +∞ continuous

Density and Cumulative Functions:

m −1
1 ⎛x⎞
f (x ) = ⎜ ⎟ e−x β
β (m − 1)! ⎜⎝ β ⎟⎠

m− 1
Γx β (m ) (x β)i
F( x ) =
Γ(m )
= 1 − e− x β ∑ i!
i=0

where Γ is the Gamma Function and Γx is the Incomplete Gamma Function.

Mean:

mβ

Variance:

mβ 2
Skewness:

2
m

Kurtosis:

6
3+
m

Mode:

β(m − 1)

PDF - Erlang(2,1) CDF - Erlang(2,1)

0.40 1.0

0.9
0.35
0.8
0.30
0.7
0.25
0.6

0.20 0.5

0.4
0.15
0.3
0.10
0.2
0.05
0.1

0.00 0.0
-1

-1

7
 Exponential
RISKExpon(β)
Parameters:

β continuous scale parameter β>0

Domain:

0 ≤ x < +∞ continuous

Density and Cumulative Functions:

e− x β
f (x) =
β

F( x ) = 1 − e − x β

Mean:

Variance:

β2
Skewness:

Kurtosis:

Mode:

PDF - Expon(1) CDF - Expon(1)

1.2 1.0

0.9
1.0
0.8

0.7
0.8
0.6

0.6 0.5

0.4
0.4
0.3

0.2
0.2
0.1

0.0 0.0
-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0
 Extreme Value
RISKExtValue(a, b)
Parameters:

a continuous location parameter

b continuous scale parameter b>0

Domain:

-∞ < x < +∞ continuous

Density and Cumulative Functions:

1⎛ 1 ⎞
f (x) = ⎜⎜ ⎟
b ⎝ e z + exp(− z ) ⎟⎠

F( x ) =
1
where z ≡
(x − a )
exp( − z ) b
e

Mean:

a − bΓ′(1) ≈ a + .577b

where Γ’(x) is the derivative of the Gamma Function.

Variance:

π2b2
6
Skewness:

12 6
ζ (3) ≈ 1.139547
π3

Kurtosis:

5.4

Mode:

PDF - ExtValue(0,1) CDF - ExtValue(0,1)

0.40 1.0

0.9
0.35
0.8
0.30
0.7
0.25
0.6

0.20 0.5

0.4
0.15
0.3
0.10
0.2
0.05
0.1

0.00 0.0
-2

-1

-2

-1

5
 Gamma
RISKGamma(α, β)
Parameters:

α continuous shape parameter α>0

β continuous scale parameter β>0

Domain:

0 < x < +∞ continuous

Density and Cumulative Functions:

α −1
1 ⎛x⎞
f (x) = ⎜ ⎟ e− x β
β Γ(α ) ⎜⎝ β ⎟⎠

Γx β (α )
F( x ) =
Γ(α )

where Γ is the Gamma Function and Γx is the Incomplete Gamma Function.

Mean:

βα

Variance:

β2α
Skewness:

2
α

Kurtosis:

6
3+
α

Mode:

β(α − 1) if α ≥ 1

0 if α < 1

PDF - Gamma(4,1) CDF - Gamma(4,1)

0.25 1.0

0.9

0.20 0.8

0.7

0.15 0.6

0.5

0.10 0.4

0.3

0.05 0.2

0.1

0.00 0.0
-2

10

12

-2

10

12
 General
RISKGeneral(min, max, {x}, {p})
Parameters:

min continuous parameter min < max

max continuous parameter

{x} = {x1, x2, …, xN} array of continuous parameters min ≤ xi ≤ max

{p} = {p1, p2, …, pN} array of continuous parameters pi ≥ 0

Domain:

min ≤ x ≤ max continuous

Density and Cumulative Functions:

⎡ x − xi ⎤
f (x) = pi + ⎢ ⎥ (p i +1 − p i ) for xi ≤ x ≤ xi+1
⎣ x i +1 − x i ⎦

⎡ (p − p i )(x − x i )⎤
F( x ) = F( x i ) + (x − x i ) ⎢p i + i +1 ⎥ for xi ≤ x ≤ xi+1
⎣ 2(x i +1 − x i ) ⎦

With the assumptions:

1. The arrays are ordered from left to right
2. The {p} array has been normalized to give the general distribution unit area.
3. The i index runs from 0 to N+1, with two extra elements : x0 ≡ min, p0 ≡ 0 and xN+1 ≡ max, pN+1 ≡ 0.

Mean:

No Closed Form

Variance:

No Closed Form
Skewness:

No Closed Form

Kurtosis:

No Closed Form

Mode:

No Closed Form

PDF - General(0,5,{1,2,3,4},{2,1,2,1}) CDF - General(0,5,{1,2,3,4},{2,1,2,1})

0.35 1.0

0.30
0.8
0.25

0.6
0.20

0.15
0.4

0.10

0.2
0.05

0.00 0.0
-1

-1

6
 Geometric
RISKGeomet(p)
Parameters:

p continuous “success” probability 0< p ≤ 1

Domain:

0 ≤ x < +∞ discrete integers

Mass and Cumulative Functions:

f ( x ) = p(1 − p )x

F( x ) = 1 − (1 − p) x +1

Mean:

1
−1
p

Variance:

1− p
p2
Skewness:

(2 − p ) for p < 1
1− p

Not Defined for p = 1

Kurtosis:
p2
9+ for p < 1
1− p

Not Defined for p = 1

Mode:

PMF - Geomet(.5) CDF - Geomet(.5)

0.6 1.0

0.9
0.5
0.8

0.7
0.4
0.6

0.3 0.5

0.4
0.2
0.3

0.2
0.1
0.1

0.0 0.0
-1

-1

7
 Histogram
RISKHistogrm(min, max, {p})
Parameters:

min continuous parameter min < max *

max continuous parameter

{p} = {p1, p2, …, pN} array of continuous parameters pi ≥ 0

* min = max is supported for modelling convenience, but yields a degenerate distribution.

Domain:

min ≤ x ≤ max continuous

Density and Cumulative Functions:

f (x) = p i for xi ≤ x < xi+1

⎛ x − xi ⎞
F( x ) = F( x i ) + p i ⎜⎜ ⎟⎟ for xi ≤ x ≤ xi+1
⎝ x i +1 − x i ⎠

⎛ max − min ⎞
where x i ≡ min + i⎜ ⎟
⎝ N ⎠

The {p} array has been normalized to give the histogram unit area.

Mean:

No Closed Form

Variance:

No Closed Form
Skewness:

No Closed Form

Kurtosis:

No Closed Form

Mode:

Not Uniquely Defined.

PDF - Histogrm(0,5,{6,5,3,4,5}) CDF - Histogrm(0,5,{6,5,3,4,5})

0.30 1.0

0.25
0.8

0.20
0.6

0.15

0.4
0.10

0.2
0.05

0.00 0.0
-1

-1

6
 Hypergeometric
RISKHyperGeo(n, D, M)
Parameters:

n the number of draws integer 0≤n≤M

D the number of "tagged" items integer 0≤D≤M

M the total number of items integer M≥0

Domain:

max(0,n+D-M) ≤ x ≤ min(n,D) discrete integers

Mass and Cumulative Functions:

⎛ D ⎞⎛ M − D ⎞ ⎛ D ⎞⎛ M − D ⎞
⎜⎜ ⎟⎟⎜⎜ ⎟ ⎜⎜ ⎟⎟⎜⎜ ⎟⎟
x ⎠⎝ n − x ⎟⎠
x
⎝ x ⎠⎝ n − x ⎠
f (x) = ⎝
⎛M⎞
F( x ) = ∑ ⎛M⎞
⎜⎜ ⎟⎟ i =1 ⎜⎜ ⎟⎟
⎝n⎠ ⎝n⎠

Mean:

nD
for M > 0
M

0 for M = 0

Variance:

nD ⎡ (M − D )(M − n )⎤
⎢ for M>1
M2 ⎣ (M − 1) ⎥⎦
0 for M = 1
Skewness:

(M − 2D )(M − 2n ) M −1
for M>2, M>D>0, M>n>0
M−2 nD(M − D )(M − n )

Not Defined otherwise

Kurtosis:

M 2 (M − 1) ⎡ M(M + 1) − 6n (M − n ) 3n (M − n )(M + 6) ⎤
+ − 6⎥
n (M − 2)(M − 3)(M − n ) ⎢⎣ D(M − D ) M2 ⎦

for M>3, M>D>0, M>n>0

Not Defined otherwise

Mode:

(bimodal) xm and xm-1 if xm is integral

(unimodal) biggest integer less than xm otherwise

where x m ≡
(n + 1)(D + 1)
M+2

PMF - HyperGeo(6,5,10) CDF - HyperGeo(6,5,10)

0.50 1.0

0.45

0.40 0.8

0.35

0.30 0.6

0.25

0.20 0.4

0.15

0.10 0.2

0.05

0.00 0.0
0

6
 Integer Uniform
RISKIntUniform(min, max)
Parameters:

min discrete boundary parameter min < max

max discrete boundary probability

Domain:

min ≤ x ≤ max discrete integers

Mass and Cumulative Functions:

1
f (x) =
max − min + 1

x − min + 1
F( x ) =
max − min + 1

Mean:

min+ max
2

Variance:

∆(∆ + 2)
where ∆≡(max-min)
12
Skewness:

Kurtosis:

⎛ 9 ⎞ ⎛⎜ n − 7 / 3 ⎞⎟
2
⎜ ⎟⋅⎜ 2 where n≡(max-min+1)
⎝ 5 ⎠ ⎝ n − 1 ⎟⎠

Mode:

Not uniquely defined

PMF - IntUniform(0,8) CDF - IntUniform(0,8)

0.12 1.0

0.10
0.8

0.08
0.6

0.06

0.4
0.04

0.2
0.02

0.00 0.0
-1

-1

9
 Inverse Gaussian
RISKInvGauss(µ, λ)
Parameters:

µ continuous parameter µ>0

λ continuous parameter λ>0

Domain:

x>0 continuous

Density and Cumulative Functions:

⎡ λ (x − µ ) 2 ⎤
−⎢ ⎥
λ ⎢⎣ 2µ 2 x ⎥⎦
f (x) = e
2π x 3

⎡ λ ⎛ x ⎞⎤ ⎡ λ ⎛ x ⎞⎤
F( x ) = Φ ⎢ ⎜⎜ − 1⎟⎟⎥ + e 2λ µ Φ ⎢− ⎜ + 1⎟ ⎥
⎣ x ⎝ µ ⎠⎦ ⎣ x ⎜⎝ µ ⎟⎠⎦

where Φ(z) is the cumulative distribution function of a Normal(0,1), also called the Laplace-Gauss Integral

Mean:

Variance:

µ3
λ
Skewness:

µ
3
λ

Kurtosis:

µ
3 + 15
λ

Mode:

⎡ 9µ 2 3µ ⎤
µ ⎢ 1+ − ⎥
⎢ 4λ2 2λ ⎥
⎣ ⎦

PDF - InvGauss(1,2) CDF - InvGauss(1,2)

1.2 1.0

0.9
1.0
0.8

0.7
0.8
0.6

0.6 0.5

0.4
0.4
0.3

0.2
0.2
0.1

0.0 0.0
-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0
 Logistic
RISKLogistic(α, β)
Parameters:

α continuous location parameter

β continuous scale parameter β>0

Domain:

-∞ < x < +∞ continuous

Density and Cumulative Functions:

⎛ 1 ⎛ x − α ⎞⎞
sec h 2 ⎜⎜ ⎜⎜ ⎟⎟
⎝ 2 ⎝ β ⎟⎠ ⎟⎠
f (x) =
4β

⎛ 1 ⎛ x − α ⎞⎞
1 + tanh⎜⎜ ⎜⎜ ⎟⎟
⎝ 2 ⎝ β ⎟⎠ ⎟⎠
F( x ) =
2

where “sech” is the Hyperbolic Secant Function and “tanh” is the Hyperbolic Tangent Function.

Mean:

Variance:

π 2β 2
3
Skewness:

Kurtosis:

4.2

Mode:

PDF - Logistic(0,1) CDF - Logistic(0,1)

0.30 1.0

0.9
0.25
0.8

0.7
0.20
0.6

0.15 0.5

0.4
0.10
0.3

0.2
0.05
0.1

0.00 0.0
-5

-4

-3

-2

-1

-5

-4

-3

-2

-1

5
 Log-Logistic
RISKLogLogistic(γ, β, α)
Parameters:

γ continuous location parameter

β continuous scale parameter β>0

α continuous shape parameter α>0

Definitions:

π
θ≡
α

Domain:

γ ≤ x < +∞ continuous

Density and Cumulative Functions:

α t α −1
f (x) =
(
β 1+ tα )2
1 x−γ
F( x ) = with t ≡
α β
⎛1⎞
1+ ⎜ ⎟
⎝t⎠

Mean:

βθ csc(θ) + γ for α > 1

Variance:

[
β 2 θ 2 csc(2θ ) − θ csc 2 (θ ) ] for α > 2

Skewness:

3 csc(3θ) − 6θ csc(2θ) csc(θ) + 2θ 2 csc 3 (θ )

for α > 3
[ ]
3
θ 2 csc(2θ) − θ csc 2 (θ) 2

Kurtosis:

4 csc(4θ) − 12θ csc(3θ) csc(θ) + 12θ 2 csc(2θ) csc 2 (θ) − 3θ 3 csc 4 (θ)
for α > 4
[
θ 2 csc(2θ) − θ csc (θ ) 2 ] 2

Mode:
1
⎡ α − 1⎤ α
γ +β⎢ ⎥ for α > 1
⎣ α + 1⎦

γ for α ≤ 1

PDF - LogLogistic(0,1,5) CDF - LogLogistic(0,1,5)

1.4 1.0

0.9
1.2
0.8

1.0 0.7

0.6
0.8
0.5
0.6
0.4

0.4 0.3

0.2
0.2
0.1

0.0 0.0
-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0
 Lognormal (Format 1)
RISKLognorm(µ, σ)
Parameters:

µ continuous parameter µ>0

σ continuous parameter σ>0

Domain:

0 ≤ x < +∞ continuous

Density and Cumulative Functions:

2
1 ⎡ ln x − µ ′ ⎤
− ⎢ ⎥
1
f (x) = e 2 ⎣ σ′ ⎦
x 2 πσ ′

⎛ ln x − µ ′ ⎞
F( x ) = Φ⎜ ⎟
⎝ σ′ ⎠

⎡ ⎤ ⎡ ⎛ σ ⎞2 ⎤
⎢ µ2 ⎥
′
with µ ≡ ln and σ ′ ≡ ln ⎢1 + ⎜⎜ ⎟⎟ ⎥
⎢ σ2 + µ2 ⎥ ⎢⎣ ⎝ µ ⎠ ⎥⎦
⎣ ⎦

where Φ(z) is the cumulative distribution function of a Normal(0,1) also called the Laplace-Gauss Integral.

Mean:

Variance:

σ2
Skewness:

3
⎛σ⎞ ⎛σ⎞
⎜⎜ ⎟⎟ + 3 ⎜⎜ ⎟⎟
⎝µ⎠ ⎝µ⎠

Kurtosis:

2
4 3 2 ⎛σ⎞
ω + 2ω + 3ω − 3 with ω ≡ 1 + ⎜⎜ ⎟⎟
⎝µ⎠

Mode:

µ4
(σ 2 + µ 2 )3 2
PDF - Lognorm(1,1) CDF - Lognorm(1,1)
1.0 1.0

0.9 0.9

0.8 0.8

0.7 0.7

0.6 0.6

0.5 0.5

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0.0 0.0
-1

-1

6
 Lognormal (Format 2)
RISKLognorm2(µ, σ)
Parameters:

µ continuous parameter

σ continuous parameter σ>0

Domain:

0 ≤ x < +∞ continuous

Density and Cumulative Functions:

2
1 ⎡ ln x − µ ⎤
− ⎢ ⎥
1
f (x) = e 2⎣ σ ⎦
x 2 πσ

⎛ ln x − µ ⎞
F( x ) = Φ⎜ ⎟
⎝ σ ⎠

where Φ(z) is the cumulative distribution function of a Normal(0,1), also called the Laplace-Gauss Integral

Mean:

σ2
µ+
e 2

Variance:

2
e 2µ ω(ω − 1) with ω ≡ e σ
Skewness:

2
(ω + 2) ω −1 with ω ≡ e σ

Kurtosis:

2
ω4 + 2ω3 + 3ω2 − 3 with ω ≡ e σ

Mode:

2
eµ − σ

PDF - Lognorm2(0,1) CDF - Lognorm2(0,1)

0.7 1.0

0.9
0.6
0.8

0.5 0.7

0.6
0.4
0.5
0.3
0.4

0.2 0.3

0.2
0.1
0.1

0.0 0.0
-2

10

12

-2

10

12
 Negative Binomial
RISKNegBin(s, p)
Parameters:

s the number of successes discrete parameter s≥0

p probability of a single success continuous parameter 0<p≤1

Domain:

0 ≤ x < +∞ discrete integers

Density and Cumulative Functions:

⎛ s + x − 1⎞ s
f ( x ) = ⎜⎜ ⎟⎟p (1 − p )x
⎝ x ⎠

x
⎛ s + i − 1⎞
F( x ) = p s
∑ ⎜⎜⎝ i ⎟⎠
⎟(1 − p) i
i=0

Where ( ) is the Binomial Coefficient.

Mean:

s (1 − p )
p

Variance:

s (1 − p )
p2
Skewness:

2−p
for s > 0, p < 1
s (1 − p )

Kurtosis:

6 p2
3+ + for s > 0, p < 1
s s(1 − p )

Mode:

(bimodal) z and z + 1 integer z > 0

(unimodal) 0 z<0

(unimodal) smallest integer greater than z otherwise

s (1 − p ) − 1
where z ≡
p

PDF - NegBin(3,.6) CDF - NegBin(3,.6)

0.30 1.0

0.9
0.25
0.8

0.7
0.20
0.6

0.15 0.5

0.4
0.10
0.3

0.2
0.05
0.1

0.00 0.0
-1

-1

9
 Normal
RISKNormal(µ, σ)
Parameters:

µ continuous location parameter

σ continuous scale parameter σ>0*

*σ = 0 is supported for modeling convenience, but gives a degenerate distribution with x = µ.

Domain:

-∞ < x < +∞ continuous

Density and Cumulative Functions:

1 ⎛ x −µ ⎞ 2
− ⎜ ⎟
1
f (x) = e 2⎝ σ ⎠
2 πσ

⎛ x −µ⎞ 1 ⎡ ⎛ x −µ⎞ ⎤
F( x ) ≡ Φ⎜ ⎟ = ⎢erf ⎜ ⎟ + 1⎥
⎝ σ ⎠ 2 ⎣ ⎝ 2σ ⎠ ⎦

where Φ is called the Laplace-Gauss Integral and erf is the Error Function.

Mean:

Variance:

σ2
Skewness:

Kurtosis:

Mode:

PDF - Normal(0,1) CDF - Normal(0,1)

0.45 1.0

0.40 0.9

0.8
0.35
0.7
0.30
0.6
0.25
0.5
0.20
0.4
0.15
0.3
0.10
0.2

0.05 0.1

0.00 0.0
-3

-2

-1

-3

-2

-1

3
 Pareto (First Kind)
Pareto(θ, a)
Parameters:

θ continuous shape parameter θ>0

a continuous scale parameter a>0

Domain:

a ≤ x < +∞ continuous

Density and Cumulative Functions:

θa θ
f (x) =
x θ +1

θ
⎛a⎞
F( x ) = 1 − ⎜ ⎟
⎝x⎠

Mean:

aθ
for θ > 1
θ −1

Variance:

θa 2
for θ > 2
(θ − 1)2 (θ − 2)
Skewness:

θ +1 θ − 2
2 for θ > 3
θ−3 θ

Kurtosis:

(
3(θ − 2 ) 3θ 2 + θ + 2 ) for θ > 4
θ(θ − 3)(θ − 4 )

Mode:

PDF - Pareto(2,1) CDF - Pareto(2,1)

2.0 1.0

1.8 0.9

1.6 0.8

1.4 0.7

1.2 0.6

1.0 0.5

0.8 0.4

0.6 0.3

0.4 0.2

0.2 0.1

0.0 0.0
0

10

11

10

11
 Pareto (Second Kind)
RISKPareto2(b, q)
Parameters:

b continuous scale parameter b>0

q continuous shape parameter q>0

Domain:

0 ≤ x < +∞ continuous

Density and Cumulative Functions:

qb q
f (x) =
(x + b )q +1

bq
F( x ) = 1 −
(x + b )q

Mean:

b
for q > 1
q −1

Variance:

b 2q
for q > 2
(q − 1)2 (q − 2)
Skewness:

⎡ q + 1⎤ q − 2
2⎢ ⎥ for q > 3
⎣q − 3⎦ q

Kurtosis:

(
3(q − 2 ) 3q 2 + q + 2 ) for q > 4
q (q − 3)(q − 4 )

Mode:

PDF - Pareto2(3,3) CDF - Pareto2(3,3)

1.2 1.0

0.9
1.0
0.8

0.7
0.8
0.6

0.6 0.5

0.4
0.4
0.3

0.2
0.2
0.1

0.0 0.0
-2

10

12

-2

10

12
 Pearson Type V
RISKPearson5(α, β)
Parameters:

α continuous shape parameter α>0

β continuous scale parameter β>0

Domain:

0 ≤ x < +∞ continuous

Density and Cumulative Functions:

1 e −β x
f (x) = ⋅
β Γ(α ) (x β )α +1

F(x) Has No Closed Form

Mean:

β
for α > 1
α −1

Variance:

β2
for α > 2
(α − 1)2 (α − 2)
Skewness:

4 α−2
for α > 3
α−3

Kurtosis:

3(α + 5)(α − 2 )
for α > 4
(α − 3)(α − 4)

Mode:

β
α +1

PDF - Pearson5(3,1) CDF - Pearson5(3,1)

2.5 1.0

0.9

2.0 0.8

0.7

1.5 0.6

0.5

1.0 0.4

0.3

0.5 0.2

0.1

0.0 0.0
-0.5

0.0

0.5

1.0

1.5

2.0

2.5

-0.5

0.0

0.5

1.0

1.5

2.0

2.5
 Pearson Type VI
RISKPearson6(α1, α2, β)
Parameters:

α1 continuous shape parameter α1 > 0

α2 continuous shape parameter α2 > 0

β continuous scale parameter β>0

Domain:

0 ≤ x < +∞ continuous

Density and Cumulative Functions:

f (x) =
1
×
(x β ) 1
α −1

β B(α1 , α 2 ) ⎛ x ⎞ α1 + α 2
⎜⎜1 + ⎟⎟
⎝ β⎠

F(x) Has No Closed Form.

where B is the Beta Function.

Mean:

βα 1
for α2 > 1
α2 −1

Variance:

β 2 α1 (α1 + α 2 − 1)
for α2 > 2
(α 2 − 1)2 (α 2 − 2)
Skewness:

α2 − 2 ⎡ 2α1 + α 2 − 1⎤
2 ⎢ ⎥ for α2 > 3
α1 (α1 + α 2 − 1) ⎣ α 2 − 3 ⎦

Kurtosis:

3 (α 2 − 2 ) ⎡ 2 (α 2 − 1) ⎤
2
⎢ + (α 2 + 5)⎥ for α2 > 4
(α 2 − 3)(α 2 − 4) ⎢⎣ α1 (α1 + α 2 − 1) ⎥⎦

Mode:

β(α1 − 1)
for α1 > 1
α2 +1

0 otherwise

PDF - Pearson6(3,3,1) CDF - Pearson6(3,3,1)

0.7 1.0

0.9
0.6
0.8

0.5 0.7

0.6
0.4
0.5
0.3
0.4

0.2 0.3

0.2
0.1
0.1

0.0 0.0
-1

-1

9
 Pert (Beta)
RISKPert(min, [Link], max)
Definitions:

min + 4 ⋅ [Link] + max ⎡ µ − min ⎤ ⎡ max − µ ⎤

µ≡ α1 ≡ 6 ⎢ α2 ≡ 6 ⎢
6 ⎣ max − min ⎥⎦ ⎣ max − min ⎥⎦

Parameters:

min continuous boundary parameter min < max

[Link] continuous parameter min < [Link] < max

max continuous boundary parameter

Domain:

min ≤ x ≤ max continuous

Density and Cumulative Functions:

f (x) =
(x − min )α1 −1 (max− x )α 2 −1
Β(α1 , α 2 )(max − min )α1 + α 2 −1

B z (α1 , α 2 ) x − min
F( x ) = ≡ I z (α1 , α 2 ) with z ≡
B(α1 , α 2 ) max − min

where B is the Beta Function and Bz is the Incomplete Beta Function.

Mean:

min + 4 ⋅ [Link] + max

µ≡
6
Variance:

(µ − min )(max − µ )
7

Skewness:

min + max − 2µ 7
4 (µ − min )(max − µ )

Kurtosis:

3
(α1 + α 2 + 1)(2(α1 + α 2 )2 + α1α 2 (α1 + α 2 − 6))
α1α 2 (α1 + α 2 + 2)(α1 + α 2 + 3)

Mode:

[Link]

PDF - Pert(0,1,3) CDF - Pert(0,1,3)

0.7 1.0

0.6
0.8

0.5

0.6
0.4

0.3
0.4

0.2

0.2
0.1

0.0 0.0
-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5
 Poisson
RISKPoisson(λ)
Parameters:

λ mean number of successes continuous λ>0*

*λ = 0 is supported for modeling convenience, but gives a degenerate distribution with x = 0.

Domain:

0 ≤ x < +∞ discrete integers

Mass and Cumulative Functions:

λx e −λ
f (x) =
x!

x
λn
F( x ) = e −λ
∑ n!
n =0

Mean:

Variance:

λ
Skewness:

1
λ

Kurtosis:

1
3+
λ

Mode:

(bimodal) λ and λ-1 (bimodal) if λ is an integer

(unimodal) largest integer less than λ otherwise

PMF - Poisson(3) CDF - Poisson(3)

0.25 1.0

0.9

0.20 0.8

0.7

0.15 0.6

0.5

0.10 0.4

0.3

0.05 0.2

0.1

0.00 0.0
-1

-1

9
 Rayleigh
RISKRayleigh(b)
Parameters:

b continuous scale parameter b>0

Domain:

0 ≤ x < +∞ continuous

Density and Cumulative Functions:

2
1⎛ x ⎞
− ⎜ ⎟
x
f (x) = e 2⎝ b ⎠
b2

2
1⎛ x ⎞
− ⎜ ⎟
F( x ) = 1− e 2⎝ b ⎠

Mean:

π
b
2

Variance:

⎛ π⎞
b2 ⎜ 2 − ⎟
⎝ 2⎠
Skewness:

2(π − 3) π
≈ 0.6311
(4 − π)3 2

Kurtosis:

32 − 3π 2
≈ 3.2451
(4 − π)2

Mode:

PDF - Rayleigh(1) CDF - Rayleigh(1)

0.7 1.0

0.9
0.6
0.8

0.5 0.7

0.6
0.4
0.5
0.3
0.4

0.2 0.3

0.2
0.1
0.1

0.0 0.0
-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5
 Student’s “t”
RISKStudent(ν)
Parameters:

ν the degrees of freedom integer ν>0

Domain:

-∞ < x < +∞ continuous

Density and Cumulative Functions:

⎛ ν + 1⎞ ν +1
Γ⎜ ⎟
f (x) =
1 ⎝ 2 ⎠⎡ ν ⎤ 2
⎢ 2⎥
πν ⎛ν⎞
Γ⎜ ⎟ ⎣ ν + x ⎦
⎝2⎠

1⎡ ⎛ 1 ν ⎞⎤ x2
F( x ) = ⎢1 + I s ⎜ , ⎟⎥ with s ≡
2⎣ ⎝ 2 2 ⎠⎦ ν + x2

where Γ is the Gamma Function and Ix is the Incomplete Beta Function.

Mean:

0 for ν > 1*

*even though the mean is not defined for ν = 1, the distribution is still symmetrical about 0.

Variance:

ν
for ν > 2
ν−2
Skewness:

0 for ν > 3*

*even though the skewness is not defined for ν ≤ 3, the distribution is still symmetric about 0.

Kurtosis:

⎛ν −2⎞
3⎜ ⎟ for ν > 4
⎝ν −4⎠

Mode:

PDF - Student(3) CDF - Student(3)

0.40 1.0

0.9
0.35
0.8
0.30
0.7
0.25
0.6

0.20 0.5

0.4
0.15
0.3
0.10
0.2
0.05
0.1

0.00 0.0
-5

-4

-3

-2

-1

-5

-4

-3

-2

-1

5
 Triangular
RISKTriang(min, [Link], max)
Parameters:

min continuous boundary parameter min < max *

[Link] continuous mode parameter min ≤ [Link] ≤ max

max continuous boundary parameter

*min = max is supported for modeling convenience, but gives a degenerate distribution.

Domain:

min ≤ x ≤ max continuous

Density and Cumulative Functions:

2(x − min )
f (x) = min ≤ x ≤ [Link]
([Link] − min)(max − min)

2(max − x )
f (x) = [Link] ≤ x ≤ max
(max − [Link])(max − min)

F( x ) =
( x − min )2
min ≤ x ≤ [Link]
([Link] − min )(max − min )

F( x ) = 1 −
(max − x )2 [Link] ≤ x ≤ max
(max − [Link])(max − min )

Mean:

min + [Link] + max

3
Variance:

min 2 + m.likely2 + max 2 − (max )([Link]) − ([Link])(min ) − (max )(min )

18

Skewness:

2 2 f f2 −9( ) where f ≡
2( [Link] − min)
−1
5
(
f2 +3
32
) max − min

Kurtosis:

2.4

Mode:

[Link]

PDF - Triang(0,3,5) CDF - Triang(0,3,5)

0.45 1.0

0.40

0.8
0.35

0.30
0.6
0.25

0.20
0.4
0.15

0.10
0.2

0.05

0.00 0.0
-1

-1

6
 Uniform
RISKUniform(min, max)
Parameters:

min continuous boundary parameter min < max *

max continuous boundary parameter

*min = max is supported for modeling convenience, but gives a degenerate distribution.

Domain:

min ≤ x ≤ max continuous

Density and Cumulative Functions:

1
f (x) =
max − min

x − min
F( x ) =
max − min

Mean:

max− min
2

Variance:

(max− min )2
12
Skewness:

Kurtosis:

1.8

Mode:

Not uniquely defined

PDF - Uniform(0,1) CDF - Uniform(0,1)

1.2 1.0

1.0
0.8

0.8
0.6

0.6

0.4
0.4

0.2
0.2

0.0 0.0
-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2
 Weibull
RISKWeibull(α, β)
Parameters:

α continuous shape parameter α>0

β continuous scale parameter β>0

Domain:

0 ≤ x < +∞ continuous

Density and Cumulative Functions:

αx α −1 − (x β )α
f (x) = e
βα

α
F( x ) = 1 − e − ( x β )

Mean:

⎛ 1⎞
β Γ⎜1 + ⎟
⎝ α⎠

where Γ is the Gamma Function.

Variance:

⎡ ⎛ 2⎞ ⎛ 1 ⎞⎤
β 2 ⎢Γ⎜1 + ⎟ − Γ 2 ⎜1 + ⎟⎥
⎣ ⎝ α⎠ ⎝ α ⎠⎦

where Γ is the Gamma Function.

Skewness:

⎛ 3⎞ ⎛ 2⎞ ⎛ 1⎞ ⎛ 1⎞
Γ⎜1 + ⎟ − 3Γ⎜1 + ⎟Γ⎜1 + ⎟ + 2Γ 3 ⎜1 + ⎟
⎝ α⎠ ⎝ α⎠ ⎝ α⎠ ⎝ α⎠
32
⎡ ⎛ 2⎞ 2⎛ 1 ⎞⎤
⎢Γ⎜1 + α ⎟ − Γ ⎜1 + α ⎟ ⎥
⎣ ⎝ ⎠ ⎝ ⎠⎦

where Γ is the Gamma Function.

Kurtosis:

⎛ 4⎞ ⎛ 3⎞ ⎛ 1⎞ ⎛ 2⎞ ⎛ 1⎞ ⎛ 1⎞
Γ⎜1 + ⎟ − 4Γ⎜1 + ⎟Γ⎜1 + ⎟ + 6Γ⎜1 + ⎟Γ 2 ⎜1 + ⎟ − 3Γ 4 ⎜1 + ⎟
⎝ α⎠ ⎝ α⎠ ⎝ α⎠ ⎝ α⎠ ⎝ α⎠ ⎝ α⎠
2
⎡ ⎛ 2⎞ 2⎛ 1 ⎞⎤
⎢Γ⎜1 + α ⎟ − Γ ⎜1 + α ⎟⎥
⎣ ⎝ ⎠ ⎝ ⎠⎦

where Γ is the Gamma Function.

Mode:
1α
⎛ 1⎞
β⎜1 − ⎟ for α >1
⎝ α⎠

0 for α ≤ 1

PDF - Weibull(2,1) CDF - Weibull(2,1)

0.9 1.0

0.8 0.9

0.8
0.7
0.7
0.6
0.6
0.5
0.5
0.4
0.4
0.3
0.3
0.2
0.2

0.1 0.1

0.0 0.0
-0.5

0.0

0.5

1.0

1.5

2.0

2.5

-0.5

0.0

0.5

1.0

1.5

2.0

2.5