QMC techniques for CAT bond pricing

Research output: Contribution to journalArticlepeer-review


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 languageEnglish
Pages (from-to)197-211
Number of pages15
JournalMonte Carlo methods and applications
Issue number3-4
Publication statusPublished - 1 Jan 2004


  • 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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