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

Fabio Sigrist and Werner A. Stahel

Papers from arXiv.org

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.

Date: 2010-11, Revised 2012-05
New Economics Papers: this item is included in nep-ecm and nep-rmg
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