QMC techniques for CAT bond pricing *

DOI10.1515/mcma.2004.10.3-4.197zbMath1060.65501OpenAlexW2052917875MaRDI QIDQ4655039

Jürgen Hartinger, Robert F. Tichy, Hansjoerg Albrecher

Publication date: 10 March 2005

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2004.10.3-4.197

zbMATH Keywords

importance samplingrare eventsquasi-Monte Carlo methodsinsurance linked securitiesinfinite-dimensional integrandspricing of catastrophe bondsvariance-reduction algorithms

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Related Items (4)

Valuing catastrophe bonds involving correlation and CIR interest rate model ⋮ On the efficiency of the Asmussen-Kroese-estimator and its application to stop-loss transforms ⋮ Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance ⋮ Catastrophe risk bonds with applications to earthquakes

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