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Paper detail

Using The Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default

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.

preprint2012arXivOpen access
Fabio SigristWerner A. Stahel
q-fin.RMq-fin.STApplications
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Fabio SigristWerner A. Stahel

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