Computing finite-time survival probabilities using multinomial approximations of risk models

DOI10.1080/03461238.2013.838603zbMath1401.91122OpenAlexW2131723577MaRDI QIDQ4576904

Massimo Costabile, Emilio Russo, Ivar Massabò

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2013.838603

zbMATH Keywords

lattice modelsfinite-time survival probabilitiesrisk models with investment income

Mathematics Subject Classification ID

Related Items (2)

A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model ⋮ Computing survival probabilities based on stochastic differential models

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