The probability distribution of the number of defaults plays an important role in pricing problems of multiple-name credit derivatives. When the group size gets large, it becomes increasingly ...

The Canadian Journal of Statistics / La Revue Canadienne de Statistique, Vol. 16, No. 4 (Dec., 1988), pp. 399-409 (11 pages) Recursive estimates fn (r)(x) of the rth derivative f(r)(x)(r=0,1) of the ...

We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete-time state-space Markov model. The algorithm employs two layers of ...

How does one conclude which solution to the recurrence relation gives the correct probability (both in this case and generally)? Translating the recursive procedure into the recurrence relation must ...