This is a preview. Log in through your library . Abstract Consider a renewal process. The renewal events partition the process into i.i.d. renewal cycles. Assume that on each cycle, a rare event ...
Journal of Applied Probability, Vol. 27, No. 3 (Sep., 1990), pp. 611-621 (11 pages) Let Sn be a sum of independent random variables. For the approximation of Sn by a Poisson random variable Y with the ...
Our news journalists obtained a quote from the research from Harvard University, "The aggregate claim or total claim amount process in [0, t] is represented by the random sum of N independent ...
This paper describes a new numerical method, based on Stein’s method and zero bias transformation, of computing collateralized debt obligation (CDO) tranche prices. We propose first-order correction ...
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