风险的计量分析

相似文件 换一批

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

The Econometrics of Individual Risk:
Credit, Insurance, and Marketing
Christian Gourieroux & Joann JasiakCloth | 2007 | $87.00 / £60.00
详情可以参看 普林斯顿大学出版社介绍


Preface xi
1 Introduction 1
1.1 Market Risk and Individual Risk 1
1.2 Risk Variable 2
1.3 Scores 3
1.4 Organization of the Book 4
References 5
2 Dichotomous Risk 7
2.1 Risk Prediction and Segmentation 7
2.1.1 Risk Prediction 8
2.1.2 Segmentation 11
2.2 Econometric Models 14
2.2.1 Discriminant Analysis 14
2.2.2 Dichotomous Qualitative Models 15
2.2.3 Comparison of Discriminant and Logit Models 18
2.3 Risk Heterogeneity 19
2.4 Concluding Remarks 20
2.5 Appendix: The Logistic Distribution 20
References 21
3 Estimation 23
3.1 Estimation Methods 23
3.1.1 The Maximum Likelihood Approach 23
3.1.2 Maximum Likelihood Estimation of a Logit Model 25
3.1.3 Maximum Likelihood Estimation in Linear Discriminant Analysis 27
3.1.4 Test of the Linear Discriminant Hypothesis 28
3.2 Signi?cance Tests 29
3.2.1 Likelihood-Based Testing Procedures 30
3.2.2 Application of the LM Test to the Logit Model 31
3.3 Implementation 32
3.3.1 Development of Score Methodology 33
3.3.2 Mortgage Score 35
3.4 Concluding Remarks 39
References 40
viii Contents
4 Score Performance 43
4.1 Performance and Selection Curves 43
4.1.1 De?nitions 43
4.1.2 Desirable Properties of a Score 46
4.1.3 Comparison of Scores 47
4.2 Discriminant Curves 49
4.2.1 De?nitions 50
4.2.2 Linear Discriminant Analysis 52
4.3 Demand Monitoring, Credit Granting, and Scores 52
4.3.1 Time-Varying Quality of Credit Applicants 53
4.3.2 Analysis of Credit-Granting Decision 55
4.3.3 Performance Curves 58
4.4 Concluding Remarks 58
4.5 Appendix: Positive Dependence 59
References 60
5 Count Data Models 61
5.1 Poisson Regression 62
5.1.1 The Model 62
5.1.2 Maximum Likelihood Estimator 63
5.1.3 Relationship with the Dichotomous Qualitative Model 64
5.2 The Negative-Binomial Regression 64
5.2.1 Model with Gamma Heterogeneity 64
5.2.2 The Bonus-Malus Scheme 66
5.3 Semi-Parametric Analysis 69
5.3.1 Mean and Variance Estimators 70
5.3.2 Estimation of the Heterogeneity Distribution 71
5.3.3 Determination of the Premium 72
5.4 Applications 73
5.4.1 Car Insurance 73
5.4.2 Presentation of Results 77
5.5 Concluding Remarks 82
References 83
6 Durations 85
6.1 Duration Distributions 86
6.1.1 Characterizations of a Duration Distribution 86
6.1.2 Duration Dependence 88
6.1.3 Basic Duration Distributions 89
6.2 Duration Models 92
6.2.1 The Exponential Regression Model 93
6.2.2 The Exponential Model with Gamma Heterogeneity 94
6.2.3 Heterogeneity and Negative Duration Dependence 95
6.3 Semi-Parametric Models 98
6.3.1 Accelerated Hazard Model 98
6.3.2 Proportional Hazard Model 99
6.4 Applications 100
6.4.1 Pension Fund 100
6.4.2 Interest Rate Spreads 101
6.4.3 Prepayment Analysis 103
6.5 Concluding Remarks 107
6.6 Appendix 109
6.6.1 Expected Residual Lifetime 109
6.6.2 Computation of the Premium Rate for the Pension Contract 110
References 111
7 Endogenous Selection and Partial Observability 113
7.1 Analysis of Dichotomous Risks from a Strati?ed Sample 113
7.1.1 Description of the Population and the Sample 113
7.1.2 Exogenous Strati?cation 115
7.1.3 Endogenous Strati?cation 115
7.1.4 The Role of Strati?ed Samples 117
7.2 Truncation and Censoring in Duration Models 117
7.2.1 Censoring 117
7.2.2 Truncation 118
7.2.3 Competing Risks 119
7.3 Bias Correction Using Rejected Credit Applications 120
7.3.1 Selectivity Bias 120
7.3.2 Boundaries for Risk Prediction 121
7.3.3 A Bivariate Model for Bias Correction 122
7.4 Concluding Remarks 126
7.5 Appendix: First-Order Expansion of the C.D.F. of a Bivariate Normal
Distribution 126
References 126
8 Transition Models 129
8.1 Homogeneous Markov Chains 130
8.1.1 Distribution of the Markov Chain 130
8.1.2 Alternative Parametrizations of a Markov Chain 132
8.1.3 Two-State Space 134
8.1.4 Qualitative Representation of the Process 135
8.1.5 Estimation 136
8.2 Explanatory Variables 137
8.2.1 Speci?cation of the Transition Probabilities 138
8.2.2 Speci?cation of the Adjustment and Long-Run Parameters 138
8.2.3 Time-Dependent Markov Chain 139
8.3 Transitions between Score Categories 140
8.3.1 Revolving Consumer Credit 140
8.3.2 Corporate Rating Dynamics 143
8.4 Concluding Remarks 146
References 146
9 Multiple Scores 149
9.1 Examples 150
9.1.1 Default Risk and Preselection 150
9.1.2 Term Structure of Default 151
9.1.3 Differentiated Incident Severity 152
9.1.4 Default and Prepayment 154
9.1.5 Default and Credit Promotion 156
9.1.6 Polytomous Logit Model 157
9.1.7 The Hypothesis of Irrelevant Alternatives 158
6.5 Concluding Remarks 107
6.6 Appendix 109
6.6.1 Expected Residual Lifetime 109
6.6.2 Computation of the Premium Rate for the Pension Contract 110
References 111
7 Endogenous Selection and Partial Observability 113
7.1 Analysis of Dichotomous Risks from a Strati?ed Sample 113
7.1.1 Description of the Population and the Sample 113
7.1.2 Exogenous Strati?cation 115
7.1.3 Endogenous Strati?cation 115
7.1.4 The Role of Strati?ed Samples 117
7.2 Truncation and Censoring in Duration Models 117
7.2.1 Censoring 117
7.2.2 Truncation 118
7.2.3 Competing Risks 119
7.3 Bias Correction Using Rejected Credit Applications 120
7.3.1 Selectivity Bias 120
7.3.2 Boundaries for Risk Prediction 121
7.3.3 A Bivariate Model for Bias Correction 122
7.4 Concluding Remarks 126
7.5 Appendix: First-Order Expansion of the C.D.F. of a Bivariate Normal
Distribution 126
References 126
8 Transition Models 129
8.1 Homogeneous Markov Chains 130
8.1.1 Distribution of the Markov Chain 130
8.1.2 Alternative Parametrizations of a Markov Chain 132
8.1.3 Two-State Space 134
8.1.4 Qualitative Representation of the Process 135
8.1.5 Estimation 136
8.2 Explanatory Variables 137
8.2.1 Speci?cation of the Transition Probabilities 138
8.2.2 Speci?cation of the Adjustment and Long-Run Parameters 138
8.2.3 Time-Dependent Markov Chain 139
8.3 Transitions between Score Categories 140
8.3.1 Revolving Consumer Credit 140
8.3.2 Corporate Rating Dynamics 143
8.4 Concluding Remarks 146
References 146
9 Multiple Scores 149
9.1 Examples 150
9.1.1 Default Risk and Preselection 150
9.1.2 Term Structure of Default 151
9.1.3 Differentiated Incident Severity 152
9.1.4 Default and Prepayment 154
9.1.5 Default and Credit Promotion 156
9.1.6 Polytomous Logit Model 157
9.1.7 The Hypothesis of Irrelevant Alternatives 158

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏3 回帖

关键词：计量分析 distribution discriminant Applications Presentation Insurance 普林斯顿 出版社 大学

The Econometrics of Individual Risk:
Credit, Insurance, and Marketing
Christian Gourieroux & Joann JasiakCloth | 2007 | $87.00 / £60.00
详情可以参看 普林斯顿大学出版社介绍
www.pup.princeton.edu

点个赞感谢分享