Computing survival probabilities based on stochastic differential models
作者：
Highlights：
• We propose a very efficient method to compute survival probabilities.
• We combine polynomial differential quadrature with high-order time-stepping.
• We consider a reduced-form model and a structural model that arise from finance and insurance.
• The method is model independent and could also be extended to other stochastic processes.
• Numerical comparison with other recent approaches is provided.
摘要
•We propose a very efficient method to compute survival probabilities.•We combine polynomial differential quadrature with high-order time-stepping.•We consider a reduced-form model and a structural model that arise from finance and insurance.•The method is model independent and could also be extended to other stochastic processes.•Numerical comparison with other recent approaches is provided.
论文关键词：Survival probability,Reduced-form model,Structural model,Differential quadrature,PDQ,Ruin probability
论文评审过程：Received 12 December 2013, Revised 24 July 2014, Available online 17 September 2014.
论文官网地址：https://doi.org/10.1016/j.cam.2014.08.030
