2 papers
q-fin.CP2022
Mod-Poisson approximation schemes: Applications to credit risk
Pierre-Loïc Méliot, Ashkan Nikeghbali, Gabriele Visentin
We introduce a new numerical approximation method for functionals of factor credit portfolio models based on the theory of mod- convergence and mod- approximation schemes. Th…
math.PR2022
Mod-Poisson approximation schemes and higher-order Chen-Stein inequalities
Pierre-Loïc Méliot, Ashkan Nikeghbali, Gabriele Visentin
In this article, we provide an extension of the Chen-Stein inequality for Poisson approximation in the total variation distance for sums of independent Bernoulli random variables i…