Survival Function

Definition

The Survival Function in the context of a Risk Model is a function that captures the probability that a risk event (e.g. a Credit Event) will not happen within a specified time interval (may happen after)

Formula

$S(t) = P(\{T > t\}) = \int_t^{\infty} f(u)\,du = 1-F(t).$

where

• T is the time when an event materializes
• t parametrizes possible future times

See Also

• Survival Probability
• Hazard Rate
• Kaplan-Meier Estimator