Using The Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default
Applications
2012-05-31 v5 Risk Management
Statistical Finance
Abstract
Regression models for limited continuous dependent variables having a non-negligible probability of attaining exactly their limits are presented. The models differ in the number of parameters and in their flexibility. Fractional data being a special case of limited dependent data, the models also apply to variables that are a fraction or a proportion. It is shown how to fit these models and they are applied to a Loss Given Default dataset from insurance to which they provide a good fit.
Keywords
Cite
@article{arxiv.1011.1796,
title = {Using The Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default},
author = {Fabio Sigrist and Werner A. Stahel},
journal= {arXiv preprint arXiv:1011.1796},
year = {2012}
}