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 ...

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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 ...