Pricing the Risk-Transfer financial Instruments via Monte Carlo Methods

DOI10.1080/0232929031000150382zbMath1057.91047OpenAlexW2037050893MaRDI QIDQ4658600

MacIej Romaniuk

Publication date: 18 March 2005

Published in: Systems Analysis Modelling Simulation (Search for Journal in Brave)

Full work available at URL: http://pure.iiasa.ac.at/id/eprint/6722/1/IR-02-065.pdf

zbMATH Keywords

Monte Carlo methodsimulationsstochastic equationpresent valuecatastrophe bondpseudocode algorithm

Mathematics Subject Classification ID

Related Items (4)

Sensitivity Analysis of Catastrophe Bond Price Under the Hull–White Interest Rate Model ⋮ Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds ⋮ Data Breach CAT Bonds: Modeling and Pricing ⋮ Catastrophe risk bonds with applications to earthquakes

Uses Software

• MersenneTwister

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