Quasi-Monte Carlo techniques for CAT bond pricing
Détails
Télécharger: BIB_F8044705DDA1.P001.pdf (255.55 [Ko])
Etat: Public
Version: de l'auteur⸱e
Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_F8044705DDA1
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Quasi-Monte Carlo techniques for CAT bond pricing
Périodique
Monte Carlo Methods and Applications
ISSN
0929-9629
Statut éditorial
Publié
Date de publication
2004
Peer-reviewed
Oui
Volume
10
Numéro
3-4
Pages
197-211
Langue
anglais
Résumé
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.
Mots-clé
Quasi-Monte Carlo, Insurance linked securities, Rare events, Importance sampling, Variation reduction
Création de la notice
12/05/2009 10:47
Dernière modification de la notice
20/08/2019 16:24