QMC techniques for CAT bond pricing

Hansjörg Albrecher; Jürgen Hartinger; Robert F. Tichy

doi:10.1515/mcma.2004.10.3-4.197

QMC techniques for CAT bond pricing

Hansjörg Albrecher, Jürgen Hartinger, Robert F. Tichy

Publikation: Beitrag in einer Fachzeitschrift › Artikel › Begutachtung

Abstract

Pricing of catastrophe bonds leads to integrals with discontinuous and formally infinite-dimensional integrands. We investigate the suitability of Quasi-Monte Carlo methods for the numerical evaluation of these integrals and develop several variance-reduction algorithms. Furthermore, the performance of Quasi-Monte Carlo sequences for asymptotically efficient rare event simulation is examined. Various numerical illustrations are given.

Originalsprache	englisch
Seiten (von - bis)	197-211
Seitenumfang	15
Fachzeitschrift	Monte Carlo methods and applications
Jahrgang	10
Ausgabenummer	3-4
DOIs	https://doi.org/10.1515/mcma.2004.10.3-4.197
Publikationsstatus	Veröffentlicht - 1 Jan. 2004

ASJC Scopus subject areas

Statistik und Wahrscheinlichkeit
Angewandte Mathematik

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KW - insurance linked securities

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KW - rare events

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QMC techniques for CAT bond pricing

Abstract

ASJC Scopus subject areas

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