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USING PANJER RECURSION

1.24 A diversified portfolio of bonds consists of investment-grade and noninvestment-grade bonds. The number of defaults of investment- grade bonds in each month is Poisson distributed with parameter 0.2 and the number of defaults of noninvestment-grade bonds in each month is independently Poisson distributed with parameter 1. When there is a default, whether it is an investment-grade or noninvestment- grade bond, the loss is $1 million or $2 million with equal probability. Derive the recursive formula for calculating the distribution of the losses of the portfolio in a month.

USING PANJER RECURSION PLEASE

math   Statistics-And-Probability   
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1.24 A diversified portfolio of bonds consists of investment-grade and noninvestment-grade bonds. The number of defaults of investment-grade bonds in each month is Possion distributed with parameter 0.2, and the number of defaults of noninvestment-grade bonds in each month is independently Poisson distributed with parameter 1.ANSWER O-> 老Poisson distribution/Ctanjer Re (urs on, no. of defaults of investment ae bonds ir each month , o.2 no. of dePaults of nonnvestment Aracle. bonds loss is 1 million οΎφ2 million with equal rrobabii f, (o) ς, (1) 0.3012 04807

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