Using The Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default
AbstractRegression 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1011.1796.
Date of creation: Nov 2010
Date of revision: May 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-20 (All new papers)
- NEP-ECM-2010-11-20 (Econometrics)
- NEP-RMG-2010-11-20 (Risk Management)
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