The econometrics of individual risk: credit, insurance, and marketing
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Princeton, NJ [u.a.]
Princeton Univ. Pr.
2007
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | XII, 241 S. graph. Darst. |
| ISBN: | 0691120668 9780691120669 |
Internformat
MARC
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| 100 | 1 | |a Gouriéroux, Christian |d 1949- |e Verfasser |0 (DE-588)170098907 |4 aut | |
| 245 | 1 | 0 | |a The econometrics of individual risk |b credit, insurance, and marketing |c Christian Gourieroux ; Joann Jasiak |
| 264 | 1 | |a Princeton, NJ [u.a.] |b Princeton Univ. Pr. |c 2007 | |
| 300 | |a XII, 241 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Banques - Gestion du risque | |
| 650 | 7 | |a Econometrie |2 gtt | |
| 650 | 4 | |a Marketing - Gestion du risque | |
| 650 | 7 | |a Risico's |2 gtt | |
| 650 | 4 | |a Risque (Assurance) | |
| 650 | 4 | |a Bank | |
| 650 | 4 | |a Banks and banking |x Risk management | |
| 650 | 4 | |a Marketing |x Risk management | |
| 650 | 4 | |a Risk (Insurance) | |
| 650 | 0 | 7 | |a Ökonometrisches Modell |0 (DE-588)4043212-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikoverhalten |0 (DE-588)4050133-4 |2 gnd |9 rswk-swf |
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| 689 | 0 | 1 | |a Ökonometrisches Modell |0 (DE-588)4043212-9 |D s |
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| 700 | 1 | |a Jasiak, Joann |d 1963- |e Verfasser |0 (DE-588)171361458 |4 aut | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-015567301 | ||
Datensatz im Suchindex
| _version_ | 1804136405208662016 |
|---|---|
| adam_text | Contents
Preface
xi
1
Introduction
1
1.1 Market
Msk
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
Significance Tests
29
3.2.1
Likelihood-Based Testing Procedures
30
3.2.2
Application of the LM Test to the Logit Mode}
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
Definitions
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
Definitions
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
Contents
їх
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 Stratified Sample
113
7.1.1
Description of the Population and the Sample
113
7.1.2
Exogenous Stratification
115
7.1.3
Endogenous Stratification
115
7.1.4
The Role of Stratified 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 Divariate
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
Specification of the Transition Probabilities
138
8.2.2
Specification of the Adjustment and Long-Run Parameters
138
8.2.3
Time-Dependent Markov Chain
Í39
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
x
Contents
9.2 Profit-
(Utility-) Optimizing Decisions
159
9.2.1
Promotional Mailing Decisions
159
9.2.2
Time-to-Default
161
9.2.3
Utility-Maximizing Behavior
162
9.3
Multi-Score Reduction Technique
163
9.3.1
Basic Notions
163
9.3.2
Singular Value Decomposition
(SVD)
164
9.3.3
Statistical Inference
165
9.4
Household Portfolio Allocation
166
9.4.1
Description of the Data Set
166
9.4.2
Model Estimation
169
9.4.3
Reduction of the Number of Scores
176
9.5
Concluding Remarks
178
References
179
10
Serial Dependence in Longitudinal Data
181
10.1
Poisson
and Compound
Poisson
Processes
182
10.1.1
Poisson
Process
182
10.1.2
Compound
Poisson
Process
184
10.1.3
From Discrete Time to Continuous Time
185
10.2
Models with Serial Dependence
186
10.2.1
Autoregressive
Models
188
10.2.2
Time-Dependent Heterogeneity
192
10.3
Applications
195
10.3.1
Cost Sensitivity with Respect to Transitory Shocks
195
10.3.2
Learning in Revolving Credit
197
10.4
Concluding Remarks
205
10.5
Appendix: Distributions of the Duration and Count Variables
205
10.5.1
Distribution of the First Duration
205
10.5.2
Independence of Durations
206
10.5.3
Distribution of the Count Variable
206
References
206
11
Management of Credit Risk
209
11.1
Measures of Risk and Capital Requirement
209
11.1.1
Value-at-Risk
210
11.1.2
Properties of a Risk Measure
212
11.2
Credit Portfolio
213
11.2.1
The P&L Distribution for a Credit Portfolio When the Horizon Is
Equal To the Maturity
214
11.2.2
The P&L Distribution for a Credit Portfolio When the Horizon Is
Shorter Than the Maturity
216
11.3
Corporate Bond Portfolio
223
11.3.1
Informational Content of Bond Prices
223
11.3.2
Default Correlation
224
11.3.3
Stochastic Transition Model
230
11.4
Concluding Remarks
235
References
235
Index
239
|
| adam_txt |
Contents
Preface
xi
1
Introduction
1
1.1 Market
Msk
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
Significance Tests
29
3.2.1
Likelihood-Based Testing Procedures
30
3.2.2
Application of the LM Test to the Logit Mode}
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
Definitions
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
Definitions
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
Contents
їх
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 Stratified Sample
113
7.1.1
Description of the Population and the Sample
113
7.1.2
Exogenous Stratification
115
7.1.3
Endogenous Stratification
115
7.1.4
The Role of Stratified 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 Divariate
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
Specification of the Transition Probabilities
138
8.2.2
Specification of the Adjustment and Long-Run Parameters
138
8.2.3
Time-Dependent Markov Chain
Í39
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
x
Contents
9.2 Profit-
(Utility-) Optimizing Decisions
159
9.2.1
Promotional Mailing Decisions
159
9.2.2
Time-to-Default
161
9.2.3
Utility-Maximizing Behavior
162
9.3
Multi-Score Reduction Technique
163
9.3.1
Basic Notions
163
9.3.2
Singular Value Decomposition
(SVD)
164
9.3.3
Statistical Inference
165
9.4
Household Portfolio Allocation
166
9.4.1
Description of the Data Set
166
9.4.2
Model Estimation
169
9.4.3
Reduction of the Number of Scores
176
9.5
Concluding Remarks
178
References
179
10
Serial Dependence in Longitudinal Data
181
10.1
Poisson
and Compound
Poisson
Processes
182
10.1.1
Poisson
Process
182
10.1.2
Compound
Poisson
Process
184
10.1.3
From Discrete Time to Continuous Time
185
10.2
Models with Serial Dependence
186
10.2.1
Autoregressive
Models
188
10.2.2
Time-Dependent Heterogeneity
192
10.3
Applications
195
10.3.1
Cost Sensitivity with Respect to Transitory Shocks
195
10.3.2
Learning in Revolving Credit
197
10.4
Concluding Remarks
205
10.5
Appendix: Distributions of the Duration and Count Variables
205
10.5.1
Distribution of the First Duration
205
10.5.2
Independence of Durations
206
10.5.3
Distribution of the Count Variable
206
References
206
11
Management of Credit Risk
209
11.1
Measures of Risk and Capital Requirement
209
11.1.1
Value-at-Risk
210
11.1.2
Properties of a Risk Measure
212
11.2
Credit Portfolio
213
11.2.1
The P&L Distribution for a Credit Portfolio When the Horizon Is
Equal To the Maturity
214
11.2.2
The P&L Distribution for a Credit Portfolio When the Horizon Is
Shorter Than the Maturity
216
11.3
Corporate Bond Portfolio
223
11.3.1
Informational Content of Bond Prices
223
11.3.2
Default Correlation
224
11.3.3
Stochastic Transition Model
230
11.4
Concluding Remarks
235
References
235
Index
239 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Gouriéroux, Christian 1949- Jasiak, Joann 1963- |
| author_GND | (DE-588)170098907 (DE-588)171361458 |
| author_facet | Gouriéroux, Christian 1949- Jasiak, Joann 1963- |
| author_role | aut aut |
| author_sort | Gouriéroux, Christian 1949- |
| author_variant | c g cg j j jj |
| building | Verbundindex |
| bvnumber | BV022357916 |
| callnumber-first | H - Social Science |
| callnumber-label | HG8054 |
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| callnumber-search | HG8054.5 |
| callnumber-sort | HG 48054.5 |
| callnumber-subject | HG - Finance |
| classification_rvk | QH 300 |
| classification_tum | WIR 680f WIR 017f |
| ctrlnum | (OCoLC)84838564 (DE-599)BSZ262123215 |
| dewey-full | 330/.01/5195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330/.01/5195 |
| dewey-search | 330/.01/5195 |
| dewey-sort | 3330 11 45195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV022357916 |
| illustrated | Illustrated |
| index_date | 2024-07-02T17:02:11Z |
| indexdate | 2024-07-09T20:55:52Z |
| institution | BVB |
| isbn | 0691120668 9780691120669 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015567301 |
| oclc_num | 84838564 |
| open_access_boolean | |
| owner | DE-N2 DE-19 DE-BY-UBM DE-355 DE-BY-UBR DE-384 DE-91 DE-BY-TUM DE-945 DE-83 |
| owner_facet | DE-N2 DE-19 DE-BY-UBM DE-355 DE-BY-UBR DE-384 DE-91 DE-BY-TUM DE-945 DE-83 |
| physical | XII, 241 S. graph. Darst. |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Princeton Univ. Pr. |
| record_format | marc |
| spelling | Gouriéroux, Christian 1949- Verfasser (DE-588)170098907 aut The econometrics of individual risk credit, insurance, and marketing Christian Gourieroux ; Joann Jasiak Princeton, NJ [u.a.] Princeton Univ. Pr. 2007 XII, 241 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Banques - Gestion du risque Econometrie gtt Marketing - Gestion du risque Risico's gtt Risque (Assurance) Bank Banks and banking Risk management Marketing Risk management Risk (Insurance) Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Risikoverhalten (DE-588)4050133-4 gnd rswk-swf Risikoverhalten (DE-588)4050133-4 s Ökonometrisches Modell (DE-588)4043212-9 s DE-604 Jasiak, Joann 1963- Verfasser (DE-588)171361458 aut V:DE-604 text/html http://br.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=015567301&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015567301&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Gouriéroux, Christian 1949- Jasiak, Joann 1963- The econometrics of individual risk credit, insurance, and marketing Banques - Gestion du risque Econometrie gtt Marketing - Gestion du risque Risico's gtt Risque (Assurance) Bank Banks and banking Risk management Marketing Risk management Risk (Insurance) Ökonometrisches Modell (DE-588)4043212-9 gnd Risikoverhalten (DE-588)4050133-4 gnd |
| subject_GND | (DE-588)4043212-9 (DE-588)4050133-4 |
| title | The econometrics of individual risk credit, insurance, and marketing |
| title_auth | The econometrics of individual risk credit, insurance, and marketing |
| title_exact_search | The econometrics of individual risk credit, insurance, and marketing |
| title_exact_search_txtP | The econometrics of individual risk credit, insurance, and marketing |
| title_full | The econometrics of individual risk credit, insurance, and marketing Christian Gourieroux ; Joann Jasiak |
| title_fullStr | The econometrics of individual risk credit, insurance, and marketing Christian Gourieroux ; Joann Jasiak |
| title_full_unstemmed | The econometrics of individual risk credit, insurance, and marketing Christian Gourieroux ; Joann Jasiak |
| title_short | The econometrics of individual risk |
| title_sort | the econometrics of individual risk credit insurance and marketing |
| title_sub | credit, insurance, and marketing |
| topic | Banques - Gestion du risque Econometrie gtt Marketing - Gestion du risque Risico's gtt Risque (Assurance) Bank Banks and banking Risk management Marketing Risk management Risk (Insurance) Ökonometrisches Modell (DE-588)4043212-9 gnd Risikoverhalten (DE-588)4050133-4 gnd |
| topic_facet | Banques - Gestion du risque Econometrie Marketing - Gestion du risque Risico's Risque (Assurance) Bank Banks and banking Risk management Marketing Risk management Risk (Insurance) Ökonometrisches Modell Risikoverhalten |
| url | http://br.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=015567301&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015567301&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT gourierouxchristian theeconometricsofindividualriskcreditinsuranceandmarketing AT jasiakjoann theeconometricsofindividualriskcreditinsuranceandmarketing |
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