On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results

DOI10.1016/J.JSPI.2022.07.005MaRDI QIDQ2095101zbMATHOpenAlexFDO

Authors Thomas A. Mroz, Sebastian Fuchs, Wolfgang Trutschnig, Juan Fernández-Sánchez

Publication date 9 November 2022

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.05807

zbMATH Keywords

copulagraphdependenceestimatorendographMarkov kernel

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Statistical methods; risk measures (91G70) Integration and disintegration of measures (28A50)

Abstract: We study the problem of maximizing the probability that (i) an electric component or financial institution $X$ does not default before another component or institution $Y$ and (ii) that $X$ and $Y$ default jointly within the class of all random variables $X,Y$ with given univariate continuous distribution functions $F$ and $G$, respectively, and show that the maximization problems correspond to finding copulas maximizing the mass of the endograph $Gamm{a}^{l}eq(T)$ and the graph $Gamma(T)$ of $T=Gcirc{F}^{-}$, respectively. After providing simple, copula-based proofs for the existence of copulas attaining the two maxima $overline{m}_T$ and $overline{w}_T$ we generalize the obtained results to the case of general (not necessarily monotonic) transformations $T:[0,1]ightarrow[0,1]$ and derive simple and easily calculable formulas for $overline{m}_T$ and $overline{w}_T$ involving the distribution function $F_T$ of $T$ (interpreted as random variable on $[0,1]$). The latter are then used to charac-terize all non-decreasing transformations $T:[0,1]ightarrow[0,1]$ for which $overline{m}_T$ and $overline{w}_T$ coincide. A strongly consistent estimator for the maximum probability that $X$ does not default before $Y$ is derived and proven to be asymptotically normal under very mild regularity conditions. Several examples and graphics illustrate the main results and falsify some seemingly natural conjectures.

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Cited in

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