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

DOI10.1016/J.INSMATHECO.2017.05.006zbMATH Open1394.62057OpenAlexW2617448114MaRDI QIDQ2364012FDOQ2364012

Anthony J. Hayter, Sarunya Somsong, Seksan Kiatsupaibul

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Univariate Discrete Distributions
• Confidence Bands for Cumulative Distribution Functions of Continuous Random Variables
• Confidence Bands for a Distribution Function Using the Bootstrap
• Some asymptotic theory for the bootstrap
• The loss given default of a low-default portfolio with weak contagion
• Optimal distribution-free confidence bands for a distribution function
• Recursive confidence band construction for an unknown distribution function

Cited In (1)

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

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