An efficient algorithm for pricing reinsurance contract under the regime-switching model

DOI10.1016/j.matcom.2023.04.018OpenAlexW4366777100MaRDI QIDQ6108199

Manijeh Abbaspour, Kianoush Fathi Vajargah, Parvin Azhdari

Publication date: 29 June 2023

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2023.04.018

zbMATH Keywords

regime-switching modelMonte-Carlo simulationvariance reduction techniquecatastrophe reinsurance

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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