منابع مشابه
modeling loss data by phase-type distribution
بیمه گران همیشه بابت خسارات بیمه نامه های تحت پوشش خود نگران بوده و روش هایی را جستجو می کنند که بتوانند داده های خسارات گذشته را با هدف اتخاذ یک تصمیم بهینه مدل بندی نمایند. در این پژوهش توزیع های فیزتایپ در مدل بندی داده های خسارات معرفی شده که شامل استنباط آماری مربوطه و استفاده از الگوریتم em در برآورد پارامترهای توزیع است. در پایان امکان استفاده از این توزیع در مدل بندی داده های گروه بندی ...
Modeling the Loss Distribution
This paper focuses on modeling and predicting the loss distribution for credit risky assets such as bonds or loans. We directly model the two components of loss — the default probabilities and the recovery rates given default, and capture the dependence between them through shared covariates. Using an extensive default and recovery data set, we demonstrate the limitations of standard metrics of...
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This paper develops a methodology for modeling and estimating expected loss over arbitrary horizons. We jointly model the probability of default and the recovery rate given default. Different model specifications are estimated using an extensive default and recovery data set that contains the majority of defaults between 1980–2004 of AMEX, NYSE and NASDAQ listed companies. We undertake extensiv...
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ژورنال
عنوان ژورنال: Management Science
سال: 2011
ISSN: 0025-1909,1526-5501
DOI: 10.1287/mnsc.1110.1345