Computing survival probabilities based on stochastic differential models
From MaRDI portal
(Redirected from Publication:464647)
Recommendations
- Computing finite-time survival probabilities using multinomial approximations of risk models
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
- A method for the calculation of characteristics for the solution to stochastic differential equations
- A novel approach to construct numerical methods for stochastic differential equations
- scientific article; zbMATH DE number 1500890
Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1197366 (Why is no real title available?)
- scientific article; zbMATH DE number 6971094 (Why is no real title available?)
- A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
- Affine processes for dynamic mortality and actuarial valuations
- An operator splitting harmonic differential quadrature approach to solve Young's model for life insurance risk
- Approximations to ruin probability in the presence of an upper absorbing barrier
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- Computing finite-time survival probabilities using multinomial approximations of risk models
- Differential quadrature: A technique for the rapid solution of nonlinear partial differential equations
- Enhancing credit default swap valuation with meshfree methods
- Erlangian approximation to finite time ruin probabilities in perturbed risk models
- Explicit finite-time and infinite-time ruin probabilities in the continuous case
- Financial Modelling with Jump Processes
- Finite-time ruin probabilities for discrete, possibly dependent, claim severities
- Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
- Interest rate models -- theory and practice. With smile, inflation and credit
- On Cox processes and credit risky securities
- On the Time Value of Ruin
- PDE methods for pricing barrier options
- Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio
- Recursive calculation of finite time ruin probabilities under interest force.
- Recursive calculation of time to ruin distributions.
- Ruin probabilities for a regenerative Poisson gap generated risk process
- Ruin probabilities with compounding assets
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Survival models based on the Ornstein-Uhlenbeck process
- The probability of ruin in finite time with discrete claim size distribution
Cited in
(9)- Strong and weak formulations based on differential and integral quadrature methods for the free vibration analysis of composite plates and shells: convergence and accuracy
- Survival probabilities for discrete-time models in one dimension
- Survival Analysis via Ordinary Differential Equations
- Ruin probability for the bi-seasonal discrete time risk model with dependent claims
- Computing finite-time survival probabilities using multinomial approximations of risk models
- Algorithmical and Computational Procedures for a Markov Model in Survival Analysis
- Survival probabilities in a discrete semi-Markov risk model
- scientific article; zbMATH DE number 7625187 (Why is no real title available?)
- Stochastic calculus as a tool in survival analysis: A review
This page was built for publication: Computing survival probabilities based on stochastic differential models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q464647)
