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arXiv · 1011.1796

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

Fabio Sigrist·Werner A. Stahel
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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.

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Fabio Sigrist, Werner A. Stahel. 2012-05-30. Using The Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default. https://doi.org/10.2143/ast.41.2.2136992

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