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

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	197-211
Number of pages	15
Journal	Monte Carlo methods and applications
Volume	10
Issue number	3-4
DOIs	https://doi.org/10.1515/mcma.2004.10.3-4.197
Publication status	Published - 1 Jan 2004

Keywords

importance sampling
insurance linked securities
Quasi-Monte Carlo
rare events
variation reduction

ASJC Scopus subject areas

Statistics and Probability
Applied Mathematics

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10.1515/mcma.2004.10.3-4.197

Cite this

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AU - Tichy, Robert F.

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AB - 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.

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QMC techniques for CAT bond pricing

Abstract

Keywords

ASJC Scopus subject areas

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