For a sample of Exponentially distributed durations we aim at point estimation and a confidence interval for its parameter. A duration is only observed if it has ended within a certain time interval, determined by a Uniform distribution. Hence, the data is a truncated empirical process that we...

Various consistency proofs for the kernel density estimator have been developed over the last few decades. Important milestones are the pointwise consistency and almost sure uniform convergence with a fixed bandwidth on the one hand and the rate of convergence with a fixed or even a variable...

From the inventory of the health insurer AOK in 2004, we draw a sample of a quarter million people and follow each person's health claims continuously until 2013. Our aim is to estimate the effect of a stroke on the dementia onset probability for Germans born in the first half of the 20th...

From the inventory of the health insurer AOK in 2004, we draw a sample of a quarter million people and follow each person’s health claims continuously until 2013. Our aim is to estimate the effect of a stroke on the dementia onset probability for Germans born in the first half of the 20th...

We consider the problem of uniform asymptotics in kernel functional estimation where the bandwidth can depend on the data. In a unified approach we investigate kernel estimates of the density and the hazard rate for uncensored and right-censored observations. The model allows for the fixed...

When calculating the cost of entering into a credit transaction the predominant stochastic component is the expected loss. Often in the credit business the one-year probability of default of the liable counterpart is the only reliable parameter. We use this probability to calculating the exact...

We derive approximate formulae for the credit value-at-risk and the economic capital of a large credit portfolio. The representation allows to change the risk horizon quickly and avoids simulation or numerical procedures. The Poisson mixture model is equivalent to CreditRisk and uses the same...

Multivariate equivalence testing becomes necessary whenever the similarity rather than a difference between several treatment groups with multiple endpoints has to be shown. This problem occurs in various applications, including bioequivalence or the comparison of dissolution profiles....

Most credit portfolio models exclusively calculate the loss distribution for a portfolio of performing counterparts. Conservative default definitions cause considerable insecurity about the loss for a long time after the default. We present three approaches to account for defaulted counterparts...

Banks could achieve substantial improvements of their portfolio credit risk assessment by estimating rating transition matrices within a time-continuous Markov model, thereby using continuous-time rating transitions provided by internal rating systems instead of discrete-time rating information....