Journal of Applied Probability, Vol. 27, No. 3 (Sep., 1990), pp. 557-576 (20 pages) In this paper we consider two-dimensional Markov chains with the property that, except for some boundary conditions, ...

We study the present value Z∞=∫0 ∞e-Xt- dYt where (X,Y) is an integrable Lévy process. This random variable appears in various applications, and several examples are known where the distribution of Z∞ ...

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 ...