Computing survival probabilities based on stochastic differential models (Q464647): Difference between revisions

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+C30
@@ Property / Mathematics Subject Classification ID: 65C30 / rank @@
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+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
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+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+D25
@@ Property / Mathematics Subject Classification ID: 92D25 / rank @@
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@@ Property / zbMATH DE Number @@
+6362053
@@ Property / zbMATH DE Number: 6362053 / rank @@
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@@ Property / zbMATH Keywords @@
+survival probability
@@ Property / zbMATH Keywords: survival probability / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+reduced-form model
@@ Property / zbMATH Keywords: reduced-form model / rank @@
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@@ Property / zbMATH Keywords @@
+structural model
@@ Property / zbMATH Keywords: structural model / rank @@
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@@ Property / zbMATH Keywords @@
+differential quadrature
@@ Property / zbMATH Keywords: differential quadrature / rank @@
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@@ Property / zbMATH Keywords @@
+PDQ
@@ Property / zbMATH Keywords: PDQ / rank @@
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@@ Property / zbMATH Keywords @@
+ruin probability
@@ Property / zbMATH Keywords: ruin probability / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2014.08.030
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@@ Property / OpenAlex ID @@
+W2038804246
@@ Property / OpenAlex ID: W2038804246 / rank @@
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@@ Property / cites work @@
+Survival models based on the Ornstein-Uhlenbeck process
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+Recursive calculation of time to ruin distributions.
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+Recursive calculation of finite time ruin probabilities under interest force.
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+Computing finite-time survival probabilities using multinomial approximations of risk models
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+Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
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+Explicit finite-time and infinite-time ruin probabilities in the continuous case
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+Ruin probabilities with compounding assets
@@ Property / cites work: Ruin probabilities with compounding assets / rank @@
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+On the Time Value of Ruin
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+Finite-time ruin probabilities for discrete, possibly dependent, claim severities
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+Financial Modelling with Jump Processes
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+PDE methods for pricing barrier options
@@ Property / cites work: PDE methods for pricing barrier options / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:464647