We consider the problem of computing finite-time survival probabilities for various risk models.We develop an approximating discrete-timemultinomial lattice thatmimics the evolution of the corresponding continuous risk process. A simple recursive algorithm to compute survival probabilities is described. Numerical results show that the proposed scheme yields accurate values in all the considered cases.
Computing finite-time survival probabilities using multinomial approximations of risk models
MASSABO', Ivar;
2013-01-01
Abstract
We consider the problem of computing finite-time survival probabilities for various risk models.We develop an approximating discrete-timemultinomial lattice thatmimics the evolution of the corresponding continuous risk process. A simple recursive algorithm to compute survival probabilities is described. Numerical results show that the proposed scheme yields accurate values in all the considered cases.File in questo prodotto:
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