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 ...
Lecture Notes-Monograph Series, Vol. 52, Time Series and Related Topics: In Memory of Ching-Zong Wei (2006), pp. 236-244 (9 pages) This exposition explains the basic ideas of Stein's method for ...
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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