Article: article from journal or magazin.
Quasi-Monte Carlo techniques for CAT bond pricing
Monte Carlo Methods and Applications
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.
Quasi-Monte Carlo, Insurance linked securities, Rare events, Importance sampling, Variation reduction
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