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QMC techniques for CAT bond pricing (2004)
| Content Provider | CiteSeerX |
|---|---|
| Author | Albrecher, Hansjörg Hartinger, Jürgen Tichy, Robert F. |
| Abstract | Summary. 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. Key words: Quasi-Monte Carlo, insurance linked securities, rare events, importance sampling, variation reduction 1 |
| File Format | |
| Volume Number | 10 |
| Journal | Monte Carlo Methods Appl |
| Language | English |
| Publisher Date | 2004-01-01 |
| Access Restriction | Open |
| Subject Keyword | Cat Bond Pricing Qmc Technique Importance Sampling Numerical Evaluation Quasi-monte Carlo Catastrophe Bond Infinite-dimensional Integrands Quasi-monte Carlo Sequence Several Variance-reduction Algorithm Key Word Quasi-monte Carlo Method Rare Event Various Numerical Illustration Efficient Rare Event Simulation Variation Reduction |
| Content Type | Text |
| Resource Type | Article |
