Quasi-Monte Carlo techniques for CAT bond pricing

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State: Serval
Version: author
Serval ID
serval:BIB_F8044705DDA1
Type
Article: article from journal or magazin.
Collection
Publications
Title
Quasi-Monte Carlo techniques for CAT bond pricing
Journal
Monte Carlo Methods and Applications
Author(s)
Albrecher H., Hartinger J., Tichy R.
ISSN
0929-9629
Publication state
Published
Issued date
2004
Peer-reviewed
Oui
Volume
10
Number
3-4
Pages
197-211
Language
english
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.
Keywords
Quasi-Monte Carlo, Insurance linked securities, Rare events, Importance sampling, Variation reduction
Create date
12/05/2009 11:47
Last modification date
03/03/2018 22:51
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