### Big Data and Information Analytics

2020, Issue 1: 1-13. doi: 10.3934/bdia.2020001
Research article

# Modeling portfolio loss by interval distributions

• Received: 26 April 2020 Accepted: 28 July 2020 Published: 04 August 2020
• Models for a continuous risk outcome has a wide application in portfolio risk management and capital allocation. We introduce a family of interval distributions based on variable transformations. Densities for these distributions are provided. Models with a random effect, targeting a continuous risk outcome, can then be fitted by maximum likelihood approaches assuming an interval distribution. Given fixed effects, regression function can be estimated and derived accordingly when required. This provides an alternative regression tool to the fraction response model and Beta regression model.

Citation: Bill Huajian Yang, Jenny Yang, Haoji Yang. Modeling portfolio loss by interval distributions[J]. Big Data and Information Analytics, 2020, 5(1): 1-13. doi: 10.3934/bdia.2020001

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• Models for a continuous risk outcome has a wide application in portfolio risk management and capital allocation. We introduce a family of interval distributions based on variable transformations. Densities for these distributions are provided. Models with a random effect, targeting a continuous risk outcome, can then be fitted by maximum likelihood approaches assuming an interval distribution. Given fixed effects, regression function can be estimated and derived accordingly when required. This provides an alternative regression tool to the fraction response model and Beta regression model.

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沈阳化工大学材料科学与工程学院 沈阳 110142