Confidence sets and confidence bands for a beta distribution with applications to credit risk management

DOI10.1016/J.INSMATHECO.2017.05.006MaRDI QIDQ2364012zbMATH OpenOpenAlexFDO

Authors Seksan Kiatsupaibul, Sarunya Somsong, Anthony J. Hayter

Publication date 17 July 2017

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2017.05.006

zbMATH Keywords

beta distributionconfidence bandcredit riskmultiple comparisonloss given default

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Nonparametric tolerance and confidence regions (62G15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Recommendations

• Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk
• Confidence sets for a multivariate distribution
• Confidence bands for distribution functions when parameters are estimated from the data: a non-Monte-Carlo approach
• Sequential confidence sets with guaranteed coverage probability and beta- protection
• Confidence bands for the CDF when sampling from a finite population

Cites work

• scientific article; zbMATH DE number 775283 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Confidence Bands for Cumulative Distribution Functions of Continuous Random Variables
• Confidence Bands for a Distribution Function Using the Bootstrap
• Optimal distribution-free confidence bands for a distribution function
• Recursive confidence band construction for an unknown distribution function
• Some asymptotic theory for the bootstrap
• The loss given default of a low-default portfolio with weak contagion
• Univariate Discrete Distributions

Cited in

(1)

• Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach

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