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

Published online by Cambridge University Press:  09 August 2013

Fabio Sigrist  and
Werner A. Stahel
Werner A. Stahel
Affiliation:
Seminar for Statistics, Department of Mathematics, ETH Zurich, Rämistrasse 110, CH-8092 Zurich, Switzerland, E-mail: [email protected]
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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

Fractional response variablescensored distributionsTobit modelslimited dependent variablesLoss Given Default
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 41 , Issue 2 , November 2011 , pp. 673 - 710
Copyright
Copyright © International Actuarial Association 2011

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